Like in the Mario series, Koopa Kingdom always appears sinister, with wastelands and lava covering most of the kingdom.
Depending on the game, the final section might be set on that particular kingdom. Other times, Bowser sets up a base at the outer space. Even then, the actual location of the Koopa Kingdom varies from one game to another. It's usually located very far away. In HTFA 5, for example, it takes going through five other kingdoms to reach it.