Alexandre lives in East Sussex, within sight of Pevensey Castle. Pevensey is a real castle that the Romans built around 290 AD. (Incidentally, Alexandre’s house and Lord Donnán’s house are both built on or near Roman ruins.)
Devitt doesn’t live in Sussex, since he had to take a train to Sussex in order to reach Anthony’s house. He caught the first morning train to Sussex and he arrived around sunset. Maybe he lives in London?
Since Wakefield was treating Devitt, they presumably live in the same general area.
Ernest and Baldwin lived in St. Gall Hospital, just outside the Scottish city of Aberdeen. St. Gall appears to be fictional. (There is a real abbey named St. Gall, and it has a hospital, but it’s in Switzerland and it was secularized in 1805.)
East Hill is a street in Wandsworth, a borough in southwest London. In the 19th century, there was a mental institution on East Hill called The Huguenots. It billed itself as a “private asylum for the care and treatment of ladies mentally afflicted.” This is a photograph from 1894. It actually looks a lot like the asylum in the game.
St. Giles is a district in north central London. In the 19th century, it was the home of another infamous rookery. The BBC collected some pictures of it. I think that the Crimson Nest (the opium den) is fictional.
26 Paul Street is an address in central London, just north of the traditional City of London. It doesn’t have a dark past, as far as I know. It's currently the home of The Imperial Society of Teachers of Dancing (ISTD), which seems appropriate, somehow.
(This is a nitpick, but the map in Chapter 5 may be upside down. East Hill is in the southwest, St. Giles is in the north, and Paul Street is in the east. However, the map implies the opposite. Of course, the map might be oriented so that south is pointing up.)
In Chapter 5, Conghill and Skidd described the Battle of Majuba Hill. The battle occurred in South Africa on February 27, 1881. The British forces were massacred, effectively ending the first Boer War. Some historical sources suggest that there was a dense mist during the battle, like Conghill described.