Richard Connell's "The Most Dangerous Game" begins on a yacht sailing through the Caribbean one dark, moonless night. The ship is passing by an island on its way to South America so Sanger Rainsford can hunt up the Amazon.
"It will be light enough in Rio," promised Whitney [the ship's captain]. "We should make it in a few days."
Though we do not know the specific year in which the story is set, we know that Zaroff "hummed a snatch of song from the Folies Bergere," which was popular from the turn of the nineteenth century into the 1920s. We do not know anything more specific, frankly, because the year does not particularly matter in this story.
The primary setting of this story is a mysterious island known to sailors as Ship-Trap Island. It is an island surrounded by rocks, which Rainsford experiences first-hand and we hear about several times in the story. The island is tropical, full of things like quicksand and jungle; the only structure on the island is General Zaroff's mansion. It is a spectacular dwelling. When Rainsford sees it for the first time,
his first thought was that be had come upon a village, for there were many lights. But as he forged along he saw to his great astonishment that all the lights were in one enormous building--a lofty structure with pointed towers plunging upward into the gloom. His eyes made out the shadowy outlines of a palatial chateau; it was set on a high bluff, and on three sides of it cliffs dived down to where the sea licked greedy lips in the shadows.
Inside, the grand structure is full of all the finest of everything, including the heads of all the game Zaroff has ever hunted.
We do not know exactly where the island is, but that is rather the point. Rainsford chose it because he wanted a place away from the rest of society where he could be free to do as he pleases.