The Border. This is the border between Scotland and England. The poem is set in the Debatable Lands that were part of Dumfries and Galloway in Scotland and Cumbria in England. The area was disputed, and marriages across the border were once discouraged. This is one possible reason why the Scottish Lochinvar was not accepted by Ellen's parents in this mostly fictional story.
Cannobie Lee. Cannobie is now usually spelt Canonbie. It is a small village in Dumfriesshire in Scotland, right at the River Esk. It used to be the main settlement in the Debatable Lands between England and Scotland. A "lee" is what is nowadays usually spelt "lea," an open area of grassland or arable land.
Eske River. This is today called the River Esk. It is a river that flows on both sides of the border and out in Solway Firth. If Lochinvar swam it, he probably went from Scotland to England, even though the river follows the actual border for only a short stretch. There are a number of water courses called River Esk around the world - confusingly there are two in Cumbria alone. However, the one Lochinvar swam would have been the one that crosses the border.
Netherby Hall. This is an estate in England, three miles South of Cannobie. Fair Ellen may have been English and not Scottish.
Solway. Solway Firth is a firth, an inlet of the sea, where the Eske River flows out near the border between England and Scotland.
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