Urban Fantasies almost always take place on Earth, rather than a Constructed World, or if not on Earth then in a place so close as to make little difference. Alternate History is common, incorporating Fantasy elements into real historical events, with humans living alongside magic, though if this isn't done there is usually a Masquerade, implying that witches, elves and fairies live alongside us, just in hiding and probably forming a complete Wainscot Society.