Lyric discussion by wanderingaloud 

Cover art for Annan Water lyrics by Decemberists, The

I got tired of fully interpreting every line of every song.

But this song pretty much suggests only one real location for the setting of the album. It must be Scotland. The Welsh name, the notion of castles [not sure if there is ever direct mention] and now the Annan, a river found in Scotland. Although the taiga does not appear to extend all the way down to Scotland on any maps I saw, it does appear to be on the outer reaches of the climate zone. Upon additional research, I have found that it definitely contains taiga forest.

Riddle solved. Knowing all of the thought I put into this, Colin probably already stated somewhere that this takes place in Scotland, but I had fun doing detective work anyway. I really like how the Celtic theme is carried through the entire albums settings.