He actually says he's in Japan in the Middle Ages which is technically correct as this period of time would be considered Japan's Middle Age we just refer to it as Feudal Japan. Either or would be correct for the translation though, since I don't speak Japanese, I don't know exactly how it's originally worded.
I might actually have to watch this. Don't usually get excited about animated superhero shows but this one looks good. Though, considering how he's dressed, I'd consider this more like Batman Samurai not Ninja. He's clearly wearing Samurai armor and wielding a Katana both of which Ninja did not wear or use (sorry but it just kinda bugs me that they'd use Ninja even though he's clearly dressed and acting like a Samurai).