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.
Lake Lelanas lies within the Hemura Forest in Kaldor’s Meselynshire, just south of the Fur Road. The lake is sacred to the Derwan Taelda tribe and marks the center of their territory.