Puzzle Quest 3 is set in Etheria, the world of the Warlords games and the previous Puzzle Quest games. This means there’s quite a bit of lore already out there about the world, although I’m still trying to figure out where PQ3 sits in the timeline. Here’s hoping @Sirrian will share some wisdom with us at some point. In the meantime, we can look at more detailed maps of Etheria to see where the PQ3 story will take us (once we’ve grinded enough to make it past Chapter 2…)
For an even more detailed map including some locations from the early chapters of PQ3, I recommend the map from the Warlords Battlecry wiki.