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I'm writing a short story, and nowhere in it I explicitly mention the country in which it is taking place. The only time I mention something about the country is when I refer to a historical event that happened there.
The country has nothing to do with the story. It's just that I have the habit to set all of my stories in the country/city I live.
Will this annoy the reader?
Either don't mention it at all or mention it fairly early. The reader is capable of building a decent image of the location in their mind and it's fine both for real locations and (even easier) for imaginary/undefined ones. That doesn't really matter. What matters is not to force them to break it down. It's extremely frustrating for a reader to build an imaginary location of imaginary land in their mind and then have it utterly shattered by the author revealing a common piece of knowledge conflicting with that image later on.
Sure if the revelation is the essential secret, it might be interesting; there are stories that tell a sequence of events creating a very simple, straightforward and obvious point of view, and then flip everything upside down by one simple revelation at the end where suddenly you realize the protagonist was one of the monsters, or that the story is not about horrible events from times long past but contemporary and about real events that take place now.
But if the revelation is not ground-breaking but significant, for example suddenly solidifying the world from "abstract European country" to "Italy" when the reader made up a decent image of the location, not quite conforming to the image of Italy, that's a very unpleasant experience.
Related: Is the ambiguity in my story the salt which makes it tasty or just plain frustrating? - see my answer to that question too; in essence that story is very frustrating by dripping new facts all along, making us reshape whatever image we've built over and over.
If the location isn't relevant to the story then there's no need to mention it.
In a fantasy, mentioning the location may help add to the colour and depth of the world, but it's still not vital. I very rarely state where a story is set. In a short story you want to keep the reader's focus on the story, and if the location adds nothing then it will only get in the way.
An no, it won't annoy the reader :-)
Normally I'd add some links and references but this is very subjective. I know I don't worry about it when I write, and it doesn't bother me when I read. I think that location is only important when it defines the culture of its people.
