It's refreshing how utterly nonsense the setting of this series is.

Early:

Princess' Empire - Generally a generic Baroque period European-styled fantasy nation in the sword & sorcery genre.
Hellhorde Castle - A geologically impossible fantasy pillar/butte with a medieval castle on it.

Later:

Princess is revealed to have a cellphone and a few random modern amenities in her childhood.
Hellhorde lands besides the castle - It is literally modern Japan. The demon lord lives in an apartment.