The setting of the game is, like many other aspects, a mystery.
From the way things look and hints we see in notes and newspapers, it could be set on earth in the near future. There are numerous areas for the Conductor to explore and as the game goes on we see writing on buildings such as businesses. The writing varies in languages from European to Scandinavian to Asian and are, according to gamers, real human languages that spell out actual words.
The characters appear to be human, both in the pixelated game and in the art of the main page.
But that's all called into question with the revelation of the double moons, which are seen at the beginning and again later in the game. If it is indeed Earth, It can be assumed the double moons have been there for a long time since there is no mention of them as being unusual or new during the game.
The double moons could also be an indication the game is not set on Earth. As they're never noted as being odd, it could be on a planet where two moons are perfectly normal and always have been.
1: It's possible the game is set on Earth and the double moons is a reflection of humans creating a Portal. The humans we see in the game may have created a portal in the past and a reflected version of the world resulted in the double moon.