Where It All Goes Down
Westmark
Guess what? Westmark takes place in a fictional kingdom called… wait for it… Westmark. Go figure, right? Though this place is as not-real as places come, though, it still seems pretty realistic. It has a ruling king and functioning government (albeit one with a corrupt chief minister), and it's filled with plenty of real-life problems, like rebellion, government oppression, poverty, and more. In fact, the more we think about it, the more it seems like the only thing made-up about Westmark is its name.
Westmark doesn't have any major distinguishing features that make it that different from any particular country. There are a few important landmarks, however. The capital, Marienstat, is pretty old, and the palace is called the Juliana. It's new—the previous palace, the Old Juliana, is decrepit now, so it was abandoned, though Cabbarus still likes to hang out there (because of course he does).
There are lot of small towns in Westmark, like Dorning—where Theo comes from—and Kessel, where Las Bombas pretends to be Mynheer Bloomsa and gets robbed by Skeit. The Freyborg is a bigger city and home to a university, in addition to the Fingers, a marshy land where Keller, Torrens, and Sparrow and Weasel get washed up. The point is that Westmark's a fairly typical place—cities, small towns, rural areas—so though the story is fictitious, it hangs out on familiar turf.