In Assassin's Creed Origins, Alexandria is the ancient Egyptian city that is a major setting and home to the Great Library.
The game is set in the Ptolemaic Kingdom during the first century BCE. Alexandria was one of the ancient Mediterranean world's most important centers of scholarship, trade, and politics, and the game uses its harbor, palaces, temples, and scholarly institutions as major locations. The city is also associated with the historical Great Library of Alexandria.
Siwa is another important location and is Bayek's home region, but it is not the answer to this question. Memphis and Cyrene also appear in the game's world. The story's historical backdrop includes the rule of Cleopatra VII and the Roman intervention led by Julius Caesar, although the game's central Assassin mythology is fictionalized.