Bujold's first book in the World of the Five Gods was Curse of Chalion, and the second book (Paladin of Souls) was also mostly set in that country, but the third book (The Hallowed Hunt) and all of the Penric novellas1 are set in different countries. Thus, it's inaccurate to label the books and novellas as chalion. The solution other fans, and Bujold herself, have come up with is to mention the thing that is common between them: namely, the five gods. Can we please rename chalion to something that's more all-purpose? Maybe five-gods or five-gods-world?
I know there aren't a whole lot of questions about these books, but we do need a tag to differentiate between vorkosigan-saga and Bujold's other works, i.e. it's not enough to just tag questions with lois-mcmaster-bujold.
1 Of which there are soon to be five! Yay!