The narrator of Anton Checkhov's short story "The Confession" is a man of relatively little sophistication and not enough malice to realize that he has been played for a fool by the people around him.
Gregory Kuzmich had just been promoted as a cashier at work and his happiness knew no boundaries. He was so excited that, in his own words, he began to see the world through "rose colored glasses". As a result, he allowed his joy to put him in a vulnerable position and, in the end, he was taken advantage of for his position as a cashier- someone with constant access to ready money.
However, the story does not directly point at a setting. In fact, the entire vignette is told from Gregory's perspective, focus, and point of view. This leaves little to no chance for him to reveal exactly where he is since he is so busy telling the story. Yet, we can infer from the words "Inspection tomorrow! Merci!" that Gregory was set up to get all the money for the crooked people who knew him, out only to be put in jail the next day. Hence, this is why he is making his confession.
Inveigh against me! Spread the news, judge, and wonder! Banish me, write editorials and throw stones. Only, please, not everyone! Not everyone!
These are the words that are said from a confession room at the police station. Like he admits "I got caught....I am a scoundrel, and a thief".