I've always chosen to think of Lolita in terms of allegory -- old Europe's perverse fascination with pubescent America -- so I was surprised to read that Nabokov had make a first stab at it as a story set in Europe.

I still think the allegory holds true and might be why Lolita finally worked with a U.S. setting. In any case can you really imagine Humbert Humbert as an erudite American? So much would be lost.