This is a tough question!
(But not for the reason you might think.)
Most Christian fiction is set in the USA, so it stands to reason that I would look at locations outside the continental USA, or further afield.
So I started running through other places I’d like to see in Christian fiction … but I can actually think of books with those settings.
Let’s list a few:
Italy is the setting for at least some of the story in each of the books in the multi-author A Tuscan Legacy series.
Athens, Greece, is the setting for Athens Ambuscade by Kristen Joy Wilks. (Actually, check out the entire Passport to Romance series.)
Elizabeth Musser has set many of her novels in her adopted country of France, including This Promised Land and the upcoming From the Valley We Rise.
Michael Phillips is an older author, but set his Secret of the Rose in Poland and Germany.
Nadine Brandes set Romanov in pre-Revolution Russia.
Jeanette Windle set several books in South America, including Crossfire (Bolivia) and The DMZ (Colombia).
Kimberly Duffy has a Dreams of India trilogy set during the Raj.
Milla Holt has several international settings, including Uganda (Falling for the Foe) and her Seasons of Faith series, set in Norway.
Going Back Cold by Kelley Rose Waller is set in Antarctica!
And, of course, New Zealand features in Close to You by Kara Isaac.
The only location I can think of that I haven’t already read about is Iceland.
Jenny Erlingsson is from Iceland, so perhaps this is a location she can use as the setting for a future novel.