The Setting

The Thousand Houses (often shortened to Thousand) is a sprawling megacity on the continent of Tenzi. It started as a divided territory, with ‘Houses’ of political rivals building competitively close to one another, their serfs filling in the gaps, until it became a conglomerate mass. As such, Thousand feels more like several small cities stitched together and the different districts are all quite diverse. You will be in this city, or just outside it, for most of this campaign.
The veil between Tenzi and the realms of fiends (the Nine Hells and the quite scary Abyss) is very thin and demons/devils have a much easier time whispering pacts and promises to mortals, or even entering the material plane. While fiends are acknowledged as objectively evil, their regularity makes conversing or even bargaining with them much less taboo than you might expect. Basically, expect fiends to pop up a lot.
The population of Thousand is mixed but predominate races are humans, tieflings (read: lots of fiends spreading that infernal ancestry about) and hobgoblins, which are considerably more sophisticated and militant than their regular-goblin cousins. While hobgoblins are still lawful evil in alignment they have a tentative truce with the other races and their more abhorrent practices (e.g. slavery) have been abolished… publicly, at least.
There are a few dragons integrated into Thousand society, and so dragonborn and other lizard-kin are also pretty common. Elves keep to their territories of Orchestra Forest (high elves) and Lockbox Forest (wood elves) but do venture into the metropolis sometimes. Everything else (half-orcs, dwarfs, gnomes, halflings) is uncommon but not unheard of, and we can flesh their racial history out more as the game goes on. The Underdark does not exist in this setting, but that's not to say the Underdark races do not exist in some other form.

Being the product of several large cities that fused into one, Thousand occupies a good portion of the Tenzi continent. It can be divided into roughly four territories based on the four leading Houses:

The House of the Golden Sun oversees justice, law and diplomacy. They head the Imperial Guard and generally deal with internal threats. They are the oldest and highest-ranking of all the Houses.

The House of the Iron Spine oversees martial, conquest and national security. They command Thousand's military and generally deal with external threats. Most hobgoblins venerate this House and most mercenary companies somewhat fall under its banner.

The House of the Umbral Key oversees magic, education and antiquity. Its leader is a powerful wizard who heads various magical colleges and preserves/protects valuable magical artefacts. Wizards being argumentative sorts, this House has more political diversity and infighting than any other House.

The House of the Lotus Rose oversees trade, mercantile and artisan/craftsmanship. Most artisan guilds are vassals of this House. Its leader is a tiefling, inspiring many tieflings to swear loyalty to this House even if they’re not traders or crafters.

The Northeast corner of the continent has been claimed by the Temple of the Mountain Forge, who use the searing heat of an active volcano to craft in the name of their deity. They are entirely neutral in affiliation, but on good terms with all of the Houses.

West is The Torn Veil, where some past travesty has shattered the border between the material plane and the demonic Abyss. This is more or less a No-Man's-Land, its monsters held at bay by the stalwart soldiers of the House of the Iron Spine.

The Southeast contains The Frost, a small patch of ever-winter land which has been officially declared cursed. The House of the Umbral Key have assumed responsibility for keeping it in check - it is rumoured that they are also in some way responsible for it. The forests along its borders (the Wailing Woods and Frozen Forest, respectively) are also pretty dangerous.

There are multiple other forests but the largest and wildest is semi-sentient Lockbox Forest to the west, namely because the forest is very good at keeping trespassers out. No-one has ever explored the heart of it… or at least, not returned to tell the tale. Considerably less tricksy is Orchestra Forest, a green expanse known for its glorious birdsong. Most elves come from Orchestra - and some from the fringes of Lockbox, but this breeds a tougher, fiercer elf that avoids the bustling Thousand like the plague.

There are precious few other cities on Tenzi but there are a multitude of towns and villages far away from the metropolis.