What are some examples of word choice that convey the setting of this story?

In the first sentence, the narrator tells us that we are at the "shore" and that the "young English boy" and his mother are on "holiday."  Thus, we can begin to ascertain that the setting of the story is the seaside, and mother and son have gone to the beach for a vacation.  Later, when Jerry is trying to fit in with the older boys who are able to swim through the tunnel in the rock at the wild bay, the narrator tells us that the boys were "of that coast," and Jerry tries to throw all the French he knows at them in an attempt to keep their attention on him.  These are good clues that the setting is, more specifically, the French Riviera, a popular beach locale for British vacationers.  Moreover, the narrator draws a distinction between Jerry's mother's "safe beach" and the "wild bay" he prefers to go to because he seems to be growing up and desiring more independence than he used to.