The setting of "In Another Country" is Milan, Italy, during autumn. In this season, the atmosphere is cold, which is synonymous with death, an event that is common and frequent in the hospital:
It was cold in the fall in Milan and the dark came very early.
Similarly, the soldiers admitted into the hospital also witness death regularly. On the other hand, the hospital also acts as a haven for the wounded soldiers and protects them from the cold (death, in this case) outside the hospital. In a way, the hospital also separates the wounded soldiers from the civilians outside the hospital:
. . . the men and women would crowd together on the sidewalk so that we would have had to jostle them to get by, we felt held together by there being something that had happened that they, the people who disliked us, did not understand.
The speaker of the story particularly feels this alienation because he is an American in a foreign country (Italy), who has been drafted there to fight in the war with the Allies. Sentences such as "I was a friend, but I was never really one of them" highlight the speaker’s feelings of alienation.
STRAIGHT FROM PLATO