I've only ever seen it written as one word in American English. It looks odd to me as two words.
Hmmm... there's the
backdrop, but that's usually just one cloth, not multiple "panels."
stage set = backdrop + props
scenery = what the backdrop and/or props depict
Here are the American Association of Community Theatre's definitions of these terms:
backdrop: A large curtain, usually painted to represent the sky, a landscape, or some other background, dropped upstage to form the back of a wing set and to mask the backstage space; now commonly supplanted by a cyclorama.
(stage) set: The complete stage setting for a scene or act, usually referring to the combination of flats, platforms, doors, windows, furniture and accessories.
scenery: The elements of a stage setting, especially those made of wood and canvas, or any other material used to construct platforms, flats, walls, doors and backdrops.
Theatre Terms | AACT