In the story, Hazel lives in Indianapolis, Indiana. She jokes that it's the "137th nicest city in America," hinting that it's a crummy place to live or at least that it doesn't have anything particularly exciting going for it.

In the novel, Hazel and Augustus talk specifically about their city when they think of things you'd never see in Indianapolis. They list skinny adults, culture, and topography (interesting land forms, like mountains).

You might also recognize Indianapolis in the scene when Hazel and Augustus visit the sculptures in the park. They're unusual enough, and described with such detail, that you realize they are a real feature of a real city. So, they would be a clue to finding out the exact setting if you hadn't noticed that conversation I just mentioned that specifically referenced Indianapolis. You could Google for any mention of this artwork, and you'd eventually discover that it's called Funky Bones and is located on the grounds of the Indianapolis Museum of Art.

But I don't blame you for being frustrated with not being able to find the setting. It's really not a huge feature of the story--Hazel's experience is rather universal and probably could have taken place in any city in the US. You might even argue that her trip overseas is the most important thing about the setting of the novel.

Interestingly, though, the author of the story is also from Indianapolis, which helps explain why he writes so well about the city even as he makes fun of it through his characters. According to this article, John Green has said that he does actually love his hometown, and that making fun of it through his characters is a way of showing affection toward it.