Resistance 1 was set in Britain, 2 was set in America and Retribution was set in Europe. Not sure about the Gathering Storm though.
On another note if you get a chance you should definitely play Killzone 2. It may not be as good as Resistance story-wise but gameplay and online are amazing
On another note if you get a chance you should definitely play Killzone 2. It may not be as good as Resistance story-wise but gameplay and online are amazing