At first, I felt the same way. Where the heck in Faerun are we?
However, what I realized is that you are not meant to know exactly where you are at first. That's why the fisherfolk in the beginning after the Prologue say that you're in the middle of nowhere. The DM wants you to feel lost and to find clues throughout your adventures to discover more and more where you are.
So yes, there are clues sprinkled throughout. You just have to find them. The tax booth is one big area that gives you an idea where you are, and the map in the druid's grove. The Flaming Fists scene also helps you pinpoint location, and the map that pops up after the Githyanki encounter really gives you the full view; or at least it is supposed to once you can actually travel to other areas of the world map. That is the main piece that is missing right now. We have no world map in Early Access that we can just pull up and see where we are.
But towards the end of Act 1, when you are talking to a certain individual, that person gives you a better idea too where you are because that person tells you where you need to go next for Act 2.
Suffice to say, you are west of Elturel. The Tieflings tell you that they came from there on their way to Baldur's Gate passing along the road until it became blocked off by goblins. They can't get through. They also tell you it will take days to get to Baldur's Gate, possibly more, so you know you are some distance east of Baldur's along the Chionthar River.
So yeah, it's not in your face where you are, but it's there.
