The first game in the series -Vandal Hearts- and the third game -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. In Vandal Hearts II, the events take place in a different location named Natra.
In the case of the first and third game, both take place in Sostegaria, however there is a 1000 years gap in between, and during that time some of the continent's nations and locations changed.
Sostegaria is a continent in the world of Vandal Hearts. There are at least three nations that we know existed there, those be The Republic of Ishtaria (formerly the Kingdom of Balastrade), Urdu, and Biruni. The "Southlands" and it's Tarre River are also mentioned, but nothing is known about them.
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.
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.