I would think that it depends on what you mean by the third world. Such acceptance of the supernatural would have to be inline with the cultural and religious norms of the surrounding area in order for the place not to attract allot of attention both from the press and from the pitchfork and torch crowd. So more than likely you are talking about non-christian majority nations which leaves you with few first world options China, India and Japan come to mind however China's government is not known for their tolerance of diversity, Japan also prizes homogeneity and along with India suffers from such high population density that bleed over of the information would be uncontainable. However a smaller community in an out of the way location would work just about anywhere there is space.
As I wrote this I thought of a great counter example both Doctor Who and Torchwood work on the idea that everyone in Britain knows about aliens but most of them would never admit it because to do so would force a radical change in their world view. It all depends on your players ability to willingly suspend their disbelief.
