In Assassin's Creed: Origins, Siwa is Bayek's home at the beginning of the story.
Bayek is a Medjay, a protector and lawkeeper in Ptolemaic Egypt, and he begins the game in the Siwa Oasis. A personal tragedy sends him on a quest for answers and revenge, eventually drawing him into the origins of the Hidden Ones, the organization that later develops into the Assassins. Siwa therefore serves both as Bayek's home and as an important starting point for the series' mythology.
The game also visits Alexandria, Memphis, Cyrene, and many other Egyptian regions. Alexandria is particularly prominent because it is a major intellectual and political center, but it is not Bayek's starting home. Origins is set in the first century BCE during the reign of Cleopatra VII and presents a fictionalized version of historical Egypt alongside real rulers and locations.