While they're still working on making princesses actually represent the girls that look up to them (ie making them not all white, not all skinny, and not all blonde) they've done a pretty good job of going to most parts of the world. Here's an idea of where Disney stories take place: by continent!
Princess and the Frog takes place in New Orleans in the 1920s, where Tiana is growin gup amiss the jazz and magic found in that city. A few magic potions and royal balls later and we have ourselves a fairytale!
The Emperor's New Groove takes place in Peru where Incan prince Kuzco is turned into a llama and thrown into the adventure of a life time.
Penguins of Madagascar takes place mostly outside of Antarctica but its filled with penguins. These adorable secret agents escape their 'boring' continent and take on the world.
Beauty and the Beast takes place in France, hence the liberal use of the French language in all of their songs. As a matter of fact, most Disney films take place in Europe simply because many of the fairytales the films are based off of are of European origin.
For example, Brave, Sleeping Beauty, Snow White, and even the Little Mermaid!
Mulan takes place in China and is the only film based in Asia! Big Hero 6 did have a pseudo-San Francisco/Tokyo, but not necessarily in Asia :/
The Lion King of course takes place in Africa! Its filled with all of my favorite animals and honestly my favorite Disney characters!
Finding Nemo takes place mostly in the ocean, but its really set around Sydney! You get to see the Great Barrier Reef and of course 42 Wallaby Way, Sydney!