The Keep on the Borderlands is set in Dyriamarch, a region of Melderyn claimed, but not effectively controlled by that kingdom. There is also a letter meant to be handed to the players before the adventure.
According to the Ilme, they once lived in a place called Ssanimar, where they were the thralls of the true dragons. This is a highly detailed atlas map of Ssanimar, wherever in Kelestia it may be.