What country is the book series of unfortunate events set in?

The book series "A Series of Unfortunate Events" by Lemony Snicket is set in a fictional country called "The Country of Your Choice".

This is done intentionally to make the stories more universal and relatable to readers from any location. While there are hints of a vaguely "American" setting (like the use of "dollars" as currency), it's never explicitly stated.