There are all sorts of things you could write about. You could have an immigrant kid (or the kid of immigrants) growing up in a big city in the late 1800s or early 1900s. You could have a soldier from the Midwest who finds himself in the Philippines fighting against Filipinos who are trying to gain their independence in the early 1900s.
I think the main thing is to pick characters, like the ones I've mentioned, who could have interesting things happen to them. The interesting things would shed light on the time period they lived in.
Also, be sure to pick something that seems interesting to you. If you're not interested, no one else will be either.