There are two settings here.
The first is the literal, physical setting. The story takes place on a railroad bridge in Alabama (over, as the title indicates, Owl Creek). All the physical action happens there.
However, there is a second setting, which is inside the mind of the man who is being hanged. In the last instants of life, he moves off into a blend of wishes, dreams, and memories to envision himself swimming home. He remembers his past life and his plantation home, creating virtual settings…before death takes him.
what is the theme of this story? what point is the author trying to tell in this story?
"A man stood upon a railroad bridge in northern Alabama, looking down into the swift water twenty feet below." this describes where the main character LITERALLY is. During this moment, right before getting his neck broken from the rope, he imagines in his mind that he escaped and got home. So, though the actual setting is the bridge, the other setting is purely imagination and fantasy of the character, within his own mind.