If you're looking for specific setting suggestions, I have a few.
A. Original setting, partially formed by player histories and partially formed as we go, but borrowing some of the more complicated elements from other settings. For example, you could say "Original setting, who's religion comes from the Golarion pantheon, with Rovagug and Asmodeus given a more lecherous spin." Or you might say, "Original setting, with different religions in different areas, matching up to various other RPGs, or historical settings." (A psuedohistorical fantasy world is good too.)
B. Take a preexisting setting--preferably Forgotten Realms or Golarion, maybe Eberon--and have them invaded by outsiders from a heretofore unkown Plane of Existence embodying perversion.
C. Take a trick from RAvenloft. Instead of the dimension of dread, these mists bring characters into the demi-plane of perversion from all across he known planes. :) Characters could be from basically anywhere.