In Assassin's Creed Odyssey, the Sanctuary of Apollo is on the ancient Greek island of Delos.
Delos is one of the Aegean locations represented in Odyssey's large open world. In historical terms, the island was a major religious center dedicated to Apollo and Artemis and was regarded by ancient Greeks as the birthplace of the divine twins. The game uses its sanctuaries, ruins, and surrounding islands as part of Kassandra or Alexios's exploration.
The location is easy to confuse with other Greek islands in the game. Kephallonia is the protagonist's starting region, Lesbos lies in the northeastern Aegean, and Crete is a much larger island south of the main Aegean routes. Delos's religious importance, rather than its size, makes it the relevant answer.