Steven Moffat has confirmed that the special will be set in Victorian London. In an interview with EW, Moffat explains how this fits in with the series:
“The special is its own thing. We wouldn’t have done the story we’re doing, and the way we’re doing it, if we didn’t have this special. It’s not part of the run of three episodes. So we had this to do it – as we could hardly conceal – it’s Victorian. [Co-creator Mark Gatiss] and me, we wanted to do this, but it had to be a special, it had to be separate entity on its own. It’s kind of in its own little bubble.”
The special is nearly complete, and Moffat is very happy with how it’s turning out. There’s no word on when the special will premiere, but it’s expected to air sometime in December.