In general, the setting of a story includes the time and place. The Cay begins in February of 1942. That puts it right in the middle of World War II. Phillip and his family originally lived in the United States, but Phillip remembers very little of that. He was only seven when his family moved to the island of Curacao. The exact area of the island that his family lives in is Willemstad.
I had played there many times with Henrik and other boys when we were a few years younger, imagining we were defending Willemstad against pirates or even the British.
Not much of the novel actually takes place here. This is because Phillip's family no longer feels safe from the war on the island, so they decide it would be best if Phillip and his mother return to Norfolk, Virginia. In order to get there, Phillip and his mother board a ship that is bound for Miami, Florida. Unfortunately, the ship is torpedoed and sinks. Phillip is rescued by Timothy, and the two characters fight for their survival on a small cay in an area of the Caribbean known as the "Devil's Mouth." This is where the majority of the novel is set.