The Sound of Music (Salzburg, Austria).
The Book of Mormon (second act in Africa and Hell).
Fiddler on the Roof (a Russian shtetl -- not exactly an exotic locale, but key to the story).
Les Miz (Paris). A whole BUNCH of musicals take place in France, in some cases in specific places, such as the Paris opera house, for POTO. However, Les Miz depends heavily on the place AND the particular period AND the specifics of French law and politics.
Audrey, the Phantom Phanatic, who nonetheless would rather be Jean Valjean, who knew how to make lemonade out of lemons.