Brandon's newsletter said it wouldn't be that important, but since when do we listen to Sanderson. I've collected as many quotes as I could find that might hint at who Hoid is speaking to (there's not many). Also this book is storming cool but more on that later.
"The Locals worshiped the 12 moons as gods, which we can all agree is far more ridiculous then whatever it is you worship" (ch. 1)
"You should not find that so unusual. How many other planets have you visited? Perhaps they all sail on oceans of pollen, and your home is the freakish one." (ch. 1)
"It was delivered by Hoid the cabin boy. (Yes that's me. what tipped you off? was it perhaps, the name?)" (ch 4.)
...That's really it, unfortunately. Although, I think it's also worth mentioning the Sigzil likely knows this story. Although he might not know its a true story, That would mean he knows some stuff about the cosmere without being aware of it. (also for the next couple months, that means he knows things we dont)
It's been a while since my last cosmere binge, so I'm rusty. All I can tell so far is that the listeners of the story are most certainly not on Tress's world, and they know Hoid by his real name. So that really narrows it down. When I started this post I thought there'd be more clues, but here we are. Thoughts?