Anime with historical setting is more likely to be based outside of Japan. Mostly ancient China and some undefined European countries though.
Chevalier d'Éon is set in France.
Ikoku Meiro no Croisée - France.
Blassreiter - Germany.
Monster - Germany.
Kuroshitsuji - UK.
Hellsing - UK.
Victorian Romance Emma - UK.
Ristorante Paradiso - Italy.
Gunslinger Girl - Italy.
Porco Rosso - Italy.
Nasu - Andalusia no Natsu - Spain.
JoJo's Bizarre Adventure - all over the world.