I play house of Dreams with Tunnels of the Red Keep.

During setup I get Increased Levy.

According to the rules:

You may not place attachments during this step unless they include the “Setup” keyword in their game text; your setup must also include valid targets for such attachments.

Can I attach Increased Levy to my Tunnels of the Red Keep? My guess is no, unless my setup also includes a location.

So if not, and I get a Goldroad in my setup do I have the option of attatching it to to Tunnels instead of my Goldroad?

No. The location from HoD is not part of your setup; you cannot place setup attachments on cards that are not part of setup.

This ruling makes me sad.

You were hoping to protect your location from a first-turn Search and Detain, I take it?

Khudzlin said:

In addition to that, it would be the best location to add Increased Levy to because then it won't be easily lost to location hate.

Bomb said:

With an attachment, effective location hate would be reduced to A City Besieged (preferably helped along with City plot cycling).