Where It All Goes Down
While the setting of "Anne Hathaway" is not specified, we like to imagine that Anne is actually speaking to us from that second best bed that we've heard so much about. The bed is probably in Stratford-upon-Avon, a town in the south of England where Anne and Shakespeare lived (though Shakespeare spent much of his time in London).
When you read the poem, imagine Anne reading her poem aloud to you in a dark room on this small but momentous bed, almost as if the existence of the bed is proof enough of Shakespeare's love for her. We bet that this is what Duffy is going for in "Anne Hathaway."