Conan's World - The Hyborian Age
At the Start of the DMG there is a great description of the various kinds of settings that adventures can take part in. A typical Conan adventure fits squarely in the Sword and Sorcery category. In this world, magic items are few and far between, with wizards often acting as the classic villains.
There is ample information on the internet about the Hyborian Age. The best breakdown I can give for purposes of D&D is to relate its races and key geographic features to modern day.
As you can see in the map above, based off of a map drawn by Howard made, the Mediterranean Sea, Black Sea, Baltic Sea, English Channel, and North Sea are all dry during this lost age. The Caspian Sea has been renamed Vilayet Sea, and extends north to reach the Arctic Ocean.
Aquilonia is a prominent feature of many King Conan stories, and is a cross between The Roman and Carolingian Empires.
Asgard is basically a dark age Scandinavia.
The Barachan Islands, featured in many of Conan's nautical adventures, represent the Caribbean Islands.
The Border Kingdoms represent the German Baltic Sea coast.
Cimmeria lies over modern day Ireland, Scotland and England.
Corinthia represents ancient Greece.
Hyperborea represents Northern Russia and the Baltic countries.
Hyrkania represents Mongolia.
Khitai is ancient China.
Nemedia is a cross between Roman and Byzantine Empires.
Pictland is pre-Columbian America.
Poitain represents France.
Shem represents Palestine, Arabia, and Syria.
Stygia represents Egypt.
Turan represents Turkey.
Vaneheim also represents Dark Age Scandinavia.
Zamora is a blend of Spanish Romani culture and Italy.