Parmandur
Book-Friend
It was implied that they would not be changing settings, and that the Yawning Portal was serving as a meeting place for planar travellers.
From the Forbes article:
We thought to ourselves these adventures were originally placed in a variety of different settings in D&D's history. Some were in Greyhawk, some weren't really attached to a setting, some were in the Realms. We thought if there was any place where you could go to hear stories of these dungeons, it would be the Yawning Portal in Waterdeep in the Forgotten Realms. The idea is that while obviously most people who go to the Yawning Portal are natives of the Forgotten Realms, there are still sometimes either playing the travelers, or adventurers who've been to other worlds. That's where powerful adventurers congregate and talk.
http://www.forbes.com/sites/toddken...portal-is-games-greatest-hits/2/#38fb91165947
(So the claim that the PoL setting would be better for Tales from the Yawning Portal is a little spurious, as there's not really an inn of the same renown. Although the World Serpent Inn would be soooo much better. I imagine that was either more of a deep cut, or harder to trademark.)
On Twitter, Crawford said that the adventures would have info for multiple possible settings, including putting the Doomvault in other settings with no connection to Thay or Red Wizards.
Considering one of the fee known facts about the movie in development is that the Yawning Portal features prominently...guess it plays into their broader media plans.