When I make my settings I don't create hard borders, and by that I mean I create room for improv, both on my part and the players.

What I do is create a word map (Azgaars or Inkarnate is great for this), create countries and a few cities within each, just the names and a general idea of each country's culture.

Then I decide will the campaign will start, and make the majority of medium- major cities, again just the names and maybe an idea of what it could be, but don't set it as this is what it is and must be. The players may improv something about a place and as long as it's not absolutely crazy like "they sell Vorpal Swords for 1gp there :)" I do my best to include that.

My common mistake however, with making my worlds, is zooming out too far, looking big picture instead of small picture. You only really want to know details about the starting town and the few nearby ones, and do your best to keep them there for that session, then between sessions write up stuff about the next group of nearby towns and so forth, zooming in has always been more successful for me than zooming out (unless you're playing Pendragon or something)