Vandal Hearts I and Vandal Hearts: Flames of Judgment both take place in the continent of Sostegaria, mainly in the central country known first as Kingdom of Balastrade and later as the Republic of Ishtaria (there is a 1,000 year gap between the first and the third game). In Vandal Hearts II, the events take place in a different location named Natra.
The "Southlands" and it's Tarre River are mentioned, but without detail.
Capital: City of Shumeria
Vast country in the heart of the Sostegarian continent, it used to be the Kingdom of Balastrade and was ruled by the Holy Asha Dynasty until The Revolution overthrew said dynasty and turned the country into the Republic of Ishtaria. Even after hundreds of years and such events, Shumeria remained the capital city all along.
All over its history, Balastrade have been in tense terms with the southern neighbour country of Urdu, tension that lead to many wars between them.
Capital: city of Thane
Capital: city of Braph
Very advanced country compared to all of the rest known nations, but that dissapeared from night to day sometime after the events in the third game and much before the events in the first Vandal Hearts.