Surprise, surprise - its English.
The Japanese.
America. To nobody's surprise.
Japan.
Saguaro country in surprise at dysart
Surprise, it was and still is country.
It's not set in a real country; the country is mythical.
A surprise that is supposed to be a surprise but isn't a surprise is a spoiled surprise.
It's an exlaimation, expressing surprise, etc. It's used as a set phrase similar to a sentence.
it is set in australia
Japan started with a surprise-attack and bombed Hong Kong ( i live there ): )
it was set in Russia