Where is Ergastulum located?
The setting is generally set somewhere in France or Italy since both people from the Mafia and Perrier (a sparkling water drink from France) are common. Worick also says 'ciao' before killing a gangster, which is an informal Italian word that can be used as a goodbye. 

As you have pointed out, there is the newspaper article that states an incident occurred in France. There is also the fact that people call Nicolas an 'oriental' which is what Asians are commonly called in Europe, so it is likely set somewhere in Europe. Also, remember that France and Italy share a land border, and so are very close to each other.