In Assassin's Creed Origins, Siwa is the setting for the game's opening area.
Origins begins with Bayek of Siwa, a Medjay serving as the local protector of the remote Siwa Oasis. The opening chapters establish Bayek's personal motivations and introduce the game's ancient Egyptian setting before he travels through other regions of Ptolemaic Egypt.
Siwa is historically significant as an oasis in Egypt's Western Desert and as the location of the Oracle of Amun. Origins uses the oasis and its temple as part of a fictionalized historical narrative set during the reign of Cleopatra VII and the struggle involving her brother Ptolemy XIII.
Alexandria, Memphis, and Thebes are all major Egyptian locations associated with the game or ancient Egyptian history, which makes them plausible alternatives. However, they are not the opening area. Siwa is the specific home region and starting location for Bayek's story.