To expand on <PERSON> answer and fill in the details from the article and journal, which is now freely available on JSTOR (you do need to create an account though). <PERSON> is the author and publisher of the journal.
<PERSON> in his article makes a very valid point that the location exists only in <PERSON>'s mind - there are many logical inconsistencies in the story, such as Gormenghast being isolated almost entirely from the world, but still having things like massive libraries (e.g. Lord <PERSON>'s), firearms, a globe ("Cane Slypate thursday"), Dr <PERSON>'s sister <PERSON> reads lady's journals for the latest fashions etc., and not least <PERSON> barking
"Name an Isthmus"
when awakened from his dozing in front of his class; an isthmus being something that Gormenghast doesn't have. In addition the school boasts a chemistry teacher - such an esoteric field being difficult to imagine being created in isolation from the rest of the world.
Having seen these exceptions <PERSON> mentions Countess <PERSON> stating
"There is nowhere else"
As well, a general sense of isolation and insularity is prevalent in the books. 573
The isolation of Gormenghast is a major feature of the story with no mention of any other location outside of the castles and vast forests that surround it.
<PERSON> then goes on to speculate that whether intentional or not, the country where <PERSON> grew up, China, was, until around the time of <PERSON>'s birth, isolated much as Gormenghast is, and contains climes similar to those of Gormenghast. To quote a significant paragraph of the article:
Whether by accident or design, it happens that Gormenghast is geographically situated in a manner that recalls China: “the wastelands” to the north correspond to the Gobi desert and Mongolia, there is a shallow sea to the east and more sea to the south, while to the west the “knuckles of endless rock” correspond to the Himalayas and the Sinkiang. Tientsin, where <PERSON> spent most of the first ten years of his life is close enough to the Gobi desert to suffer from sandstorms; significantly, the Gulf of Chihli, which lies but forty miles to the east of Tientsin, is to all intents and purposes “tideless”, being an enclosed coastal sea, little more than a large bay of the Yellow Sea. Its coast is flat and swampy with “grey salt marshes” created by the alluvial deposits of the major rivers flowing into it. So if I were pushed to place Gormenghast on the map of the world, I should point to Tientsin, or of course to Peking, which lies less than 80 miles to the north-west of Tientsin.
Thus China may be a (perhaps subconscious) influence on the story and is one likely location for Gormenghast. 495