Hi Krugen! This is a great question, and I think that the location of each play might play an important role in your answer.
If we look into Shakespeare's tragedies, we might notice that Romeo and Juliet deals with two families in Verona, Hamlet deals with the prince of Denmark, Macbeth takes place in Scotland, Julius Caesar takes place in Rome, and so on.
If we look into Shakespeare's histories...they all have to do with the English monarchy. Shakespeare's histories didn't attempt to capture historical events from across the globe. Instead, they focused on the history most relevant to Shakespeare and his Elizabethan audience.
Hope this helps! Let me know if you have any additional questions.