As the story opens, the main characters, Rosa, her infant daughter Magda, and her niece Stella, are on a forced marched to a Nazi concentration camp. It was common for the Nazis to move their prisoners from one camp to another on what came to be called death marches; if any died along the way, so much the better. Elie Wiesel describes in his book Night how he and his father had to walk from Buchenwald to Buna in the snow.
Once they arrive at the new camp, it becomes the primary setting for the horrors the story depicts. Ozick doesn't give us the name of either camp.
The two settings of "The Shawl" are closely related. One is the concentration camp; the other is on the road, walking to the concentration camp.