Bayek, the protagonist of Assassin's Creed Origins, is from Siwa, an oasis in ancient Egypt. He serves as a Medjay, a protector and law officer, before becoming involved in the events that lead to the creation of the Hidden Ones.
Siwa is the setting for the game's opening area and establishes Bayek's connection to local communities, desert travel, and Egyptian tradition. The game's story later expands across a large version of Ptolemaic Egypt, including Alexandria, Memphis, and the Giza region.
Alexandria is an especially common mistaken answer because it is one of the game's largest and most important cities, and because historical figures such as Cleopatra are tied to it. Bayek's home, however, is the western oasis of Siwa, near Egypt's border with Libya.