The world of Siesta takes place in a fantasy version of Europe, home to individuals known as bullet users who have faced severe discrimination for reasons that remain unknown. This prejudice has significantly diminished thanks to Grande Corp's campaign to eradicate a decades-old pirate faction, aided by the Bulletron, a battle suit created specifically for bullet users. The narrative opens with the protagonist, Dia Canto, sharing details about her life: her experience becoming an orphan, meeting her foster family, and her deep romantic feelings for her stepbrother, Loe. However, her affection for Loe is brutally rejected before it can develop, prompting her to leave and vent her sorrow. It is during this time that she meets Cid Leon, whom she will eventually be hired to "protect".