It is happening during World War 2 in Paris and Wakanda.
Today at the D23 Expo, a first glimpse of the new Marvel game from Skydance New Media will be presented. According to rumours, Captain America and Black Panther will appear in the Amy Hennig-directed game. According to MCU Status, the game, which is said to be set during World War 2, will have the pair battling Hydra.
The teaser video suggests that one of the storylines will be World War II and the Nazi-affiliated secret organisation "Hydra," even if elements like the game's genre, compatible platforms, and release date have not been announced.