The majority of the game (excluding the very first and the very last levels which feature India) takes place in one continuous setting, the vast Palace of Azad.
Not much is known about the Palace. It is seemingly situated beyond India while looking from Persia, evident from the Prince's opening narration "On our way to Azad, we passed though India". It is here where the Sands of Time are released and corrupt the entire location and its inhabitants.
The Palace is ruled by the Sultan of Azad who is a friend and ally of the Persian King.
The entire game takes place during a period of one night and one day. This is evident from the fact that when the King's entourage arrives at the Palace, it's late afternoon. As the Sands are released the Prince and Farah travel through the moonlit ruins and once they emerge from the well around chapter "Out of the Well", it's already morning.
The game features the Palace in almost its entirety, with little to no visible loading times inbetween.
The level design is such that from almost anywhere you can see your ultimate goal, the Tower of Dawn atop which the Hourglass is kept. Despite this, it's unclear if the developers had a definite model of the Palace and if they thought of the position of the various buildings and landmarks. For example, sometimes the direction of the sun may not correspond to the buildings displayed at different parts of the map.
Per my knowledge, there is no official map or blueprint of the Palace. Around the time the game came out there was an official wallpaper released which portrayed the Palace from an isometric viewpoint. While it's of poor resolution and may not represent the final iteration, it offers some verification as to where certain buildings are more likely to be located. By using the wallpaper image in conjuction with the little clues the level design provides, it may be possible to map out a layout of the Palace with reasonable accuracy.
Here you can see