One of our main illustrators for the adventure path, Claudio Pozas, is from Rio.
I visited in 2008, and thought it would be a more interesting setting for a steampunk-ish story than your typical direct London analogue.
Also, in the Player's Guide, the Sword of the Black Needles is a reference to author Paulo Coelho, who wrote O Mago (The Alchemist). He claimed to have been given a magic sword by a wizard, but to have cast it away from the top of the Pico das Agulhas Negras (the Peak of the Black Needles), a mountain in a national park I hiked at while I was in Brazil.
I'm sure there are a few other Brazil references, but it's been a while, so they may have been just blended into my conception of Risur by this point.
Zeitgeist has a bunch of references that people might not get if they don't know the source material. I only know a few of them, so please add to the list. SPOILERS AHEAD, obviously. updated by info from hirou, Elfshire, Andrew Moreton, MrPereira, and of course Ranger Wickett Part 1...