Still has to finish the whole series but I have this little headcanon that the setting take place in the appalachian mountains or still somewhere on the east coast of the USA.

Apparently the place was a puritan settlement and they are only on the east coas.
it's stated one of the ghosts being a civil war soldier and most of the war was fought always on the east coast.
plus and this is the weakest point since it can fly and it has appeared in othe rmedia all around USA but the mothman is a monster that originated in West Virginia and with most of it's sightnings in Appalachia.