There are two completely different scenarios for the adventures of this game to take place: Our World and the Lost World. There are almost opposites, with characteristics from each one contrasting with the characteristics of the other.
By Our World, we are referring to the world we know in our normal lives. The world as it was by the 1930s, with the same countries, maps and people they had back them. Well, maybe with some differences since magic is real, some people have psionic powers and super-science is a thing, even though all of this is rare and almost unknown by pretty much everyone.
As for the Lost World, we are referring to an isolated land, unknown by all, where the laws of our common reality don't quite work the same, where civilizations long gone still thrive, and where legends are real. Dinosaurs and other prehistorical creatures still roam the place and the coming of people from Our World may change everything.