From a story and thematic perspective, it would make the most sense to set it either in England, France, or the United States, or combination of the three, at least sooner or later (id est, maybe not even III, but IV.)
If I know one thing about the standard templar conspiracy theory set up, it's that it always somehow involves the freemasons. Well this could be taken two ways: Either they do the standard approach of Templares=Freemasons, or they could do a much more interesting take on it.
The freemason's origins are fairly obscure and nothing is really known about where they came from. Ok, we have a group shrouded in mystery with secret rituals and an unknown origin that uses this symbol. [http://upload.wikimedia.org/wikipedia/commons/a/ac/Square_compasses.svg]
Remind you of anything? [http://images3.wikia.nocookie.net/__cb20110611133616/assassinscreed/images/f/f8/Assassin_Symbol_wallp_pack_by_WinterWerewolf-1-.jpg]
Anyway, it's generally said in these conspiracies that the freemason's have a huge hand in the revolutions in france and the americas. As such, who knows, maybe we have the basis for a new plot.