Every Fallout game, dating back to the original in 1997, has been set in America. We've gone from New California to the Capital Wasteland to The Commonwealth, but never outside the USA.
Unless you count space. Plenty of fans are curious about what the rest of the world is like, to the point that an entire fan-developed game has sprung up in Fallout London, but Todd Howard has ruled out the idea for Bethesda as he wants to keep some mystery to its world. "My view is, part of the Fallout shtick is on the American naivete," Howard said in an interview with Insider Gaming. "And so, for us, right now, it's okay to acknowledge some of those other areas, but our plans are to predominately keep it in the US.
I don't feel the need to answer... It's okay to leave mystery or questions, 'What's happening in Europe, what's happening here?' The worst thing you can do to mysterious lands is to remove the mystery." Let's start with Canada.
Before the nukes were even fired, they had been torn apart in the crossfire of a war between China and America. As China used Alaska--Anchorage in particular--as a staging ground for its invasion, troops would often pass through Canada and even fight on its soil.
The USA eventually annexed Canada, referring to it as "little America", as its northern cousin desperately tried to ban both sides from entering its borders to no avail.