Prometheus Unbound is set in the “Indian Caucasus” (likely the region of the Caucasus Mountains bordered by Iran), where Prometheus happens to be imprisoned. The Caucasus Mountains play a rather important role in the various mythologies of many European cultures, thought of as a place of ancient magic.
Dracula, published nearly a century after Shelley's work, also imagines such mountains as the seat of old deities and unearthly beings. This mystical setting fits well with the other narrative content of Prometheus Unbound, which merges a variety of myths, cultures, and religious traditions in the course of the story. Places like Mount Olympus, heaven, or hell have no singular earthly location, and many of the mythical locations discussed in Greek and Roman tradition may no longer exist. Locating Prometheus Unbound in a concrete geographical location offsets the lack of a definite setting in these old myths, particularly given the fact that Shelley combines so many different religious traditions in his epic tale.
Prometheus Unbound is, furthermore, a Romantic epic, carrying along with it that veneration for the natural world so typical of early 1800s lyrical poetry. The natural setting of the novel is, consequently, a character in its own right, even taking on a "physical" body and a voice as Gaia/Mother Earth.
