Scaena, though it really means 'the background...against which a play...is performed' (Oxford Latin dictionary), is used by extension to refer to the location or setting of a play, because, after all, the background (even if it consisted of just 3 doorways in the wall at the back of the stage) represented that location.
For example, in my Oxford edition of the tragedies of Seneca the Younger, the opening of the Phoenissae is prefaced with the following:
Scaena primum prope Thebas in via deinde Thebis
('Scene: first on the road near Thebes, and then in Thebes')
(I chose this example because it shows that the singular form scaena is used even if the play has more than one location.)
Scaena is used in exactly the same way in editions of the works of, e.g., Plautus and Terence.