The setting of a story is always the combination of two elements: place and time. "Miss Brill" is no exception; therefore, let's analyze both elements of setting in turn.
First, the place in "Miss Brill" is ironically specific and not specific at all. It is set in France, in an unnamed town, but specifically in the "Public Gardens" of that town. It can also be implied that it is a small French town that is coastal (in that the people can view the shore from the gardens.) How are we sure it is in France? Well, that is the only reason why the French term "Les Jardins Publiques" would be used. Note the following quotation:
The blue sky [was] powdered with gold and great spots of lightlike white wine splashed over the Jardins Publiques.
This line is important to the setting because it is part of the very first line of the story and immediately establishes the specific Public Gardens as part of the not-so specific town setting in France.
What I find interesting is that no one above truly deals with the setting of TIME in "Miss Brill," which is quite important. Probably the least important aspect of non-specific timing is that it is set in daytime at a park. This is important because Miss Brill enjoys looking at passersby and observing them closely. However, the most important aspect of time is that "Miss Brill" is set in the 1920s in France. Why is this significant? Well, Miss Brill (the character) constantly has an ominous feeling. Why? It is a tumultuous time in Europe! It is after World War I and before World War II. Quite literally, it's the time "between the wars" and Miss Brill feels it. Miss Brill is a perfect example of the "Jazz Age" of the time period. Even though it doesn't mention the year here, you can feel the tension of the time in this quotation, further you can tell it is most likely early fall:
The air was motionless, but when you opened your mouth there was just a faint chill, like a chill from a glass of iced water before you sip, and now and again a leaf came drifting--from nowhere, from the sky. Miss Brill put up her hand and touched her fur.
Therefore, as you can see, "Miss Brill" is set in Europe of the 1920's. It is set "between the wars" where we can feel the tension as readers. It is in France, as a result of the Public Gardens being proclaimed in the French language. All-in-all, it is a perfect short story to teach setting!