Q: Why in my settings I don't have wallet?

Apple Pay only has support for U.K. & U.S.

Where are you from?

Maybe but check your

Settings > App & iTunes Store > Apple ID: > View Apple ID > sign in and change Country/Region.

Settings > General > Language & Region  > change here

I am currently in Lyon, France, but my residence is in the USA.  I tried going into settings, etc. but it didn't help!

Change the settings to US.

Setting->General->Language&region->change region to US or UK.

Then it should work.

Apple Pay is also available in Canada & Australia, but only with American Express cards issued directly by Amex.