The setting of this powerful short piece of fiction mostly occurs at the gates of heaven, as the story focuses on the attempts of the repentant sinner of the title to gain admission through the pearly gates into heaven itself. Thus, for most of the story, the action occurs in a spiritual realm. The only reference to the earthly realm that is given comes at the beginning, when the sinner, on his deathbed, repents, and then dies, going up into the spiritual realm:
And as he said these words, his soul left his body. And the soul of the sinner, feeling love towards God and faith in His mercy, went to the gates of heaven and knocked, praying to be let into the heavenly kingdom.
The vast majority of this short piece of fiction occurs outside heaven, in front of the heavenly gates, and only at the very end does the setting shift as the gates open and the sinner is embraced by the Apostle John and allowed to enter heaven.