The Phantom resides in a tropical country called Bangalla, sometimes spelt as Bengala, Bengali, or Denkali.
According to an interview, Lee Falk wanted Bangalla to be based partly on India but with African elements too. In fact, the word 'Bangalla' has its roots in the 'Royal Bengal Tiger' ('Bengal' itself is the name of an Indian state). Bangalla started off as a country neighbouring India, but over time was moved closer to Africa.
Wherever placed, the jungles of Bangalla are the haunts of the Ghost who walks. Feel free to visit the exotic locations within this amazing country. Hopefully you'll enjoy the journey there. You never know whom you'll run into!