Place belonging to Siamese twins (3)
I believe the answer is:
'place' is the definition.
(setting is a kind of placing)
'belonging to siamese twins' is the wordplay.
'belonging to' says the answer is hidden in the clue (I've seen this in other clues).
'SET' is hidden in the letters of 'siamese twins'.
(Other definitions for set that I've seen before include "Become stiff like jelly" , "several games" , "'Put, place or fix in position (3)'" , "declined" , "Put down the tennis group" .)