The world can be nearly identical to the real world, such as a campaign taking place in London or New York, or completely made up, as is the nature of pen-and-paper RPGs. As the game borrows heavily from Dungeons and Dragons, sharing many spells and items, and mythology. Real world religion and D&D religion are considered equally valid in Urban Arcana, and you can have a Knight of Pelor, or a Christian Acolyte, as the game takes place in the "real world".