Due to our timeslot format, we won't have a ton of time in the sessions for extended roleplay. But, making a character that "fits with the setting" or "is inspired from the setting" in some way can be a style of play.
We'll be using Paizo's Golarion setting. The PathfinderWiki has most of the setting information: https://pathfinderwiki.com/wiki/Portal:Geography
Avistan and Garund are the primary continents. You can find just about any setting you need as a country in Golarion. Just ask for what you're looking for.
This is also a good place to look at for Deities, for those looking to play Cleric or perhaps Champion may want to incorporate it into their flavor.
For the most part, you will be staying in the city of Absalom, on the isle of the same name, the City at the Center of the World. This is where Pathfinder Agents gather, at the "Grand Lodge", to train/relax/learn of work to do.
https://pathfinderwiki.com/wiki/Absalom
https://pathfinderwiki.com/wiki/Grand_Lodge
On Scenarios and Bounties, you are likely to be sent to a Pathfinder Lodge in another nation to receive a briefing.