What is the setting in Unfinished Tales: The Lost Lore of Middle-earth?

The stories each take place in different settings, and there are multiple settings within each story. They all take place in and around Middle-earth, in a world invented by the author. The most important settings in the stories include the following: The Far West, Numenor, Gondor, Mordor, Belfalas, Isengard, Gondolin, The Hill of Awe, Nevrast, Doriath, Menegroth, Dor-lomin, Brethil, Gladden Fields, The Shire, and Rohan.