Bayek of Siwa is from the Siwa Oasis in Assassin's Creed Origins.
Bayek is a Medjay, a traditional Egyptian protector and lawkeeper, and begins the game in the western Egyptian oasis of Siwa. His personal story develops during a period of political change involving Cleopatra, Julius Caesar, and the rival forces of Ptolemaic Egypt and Rome.
The Siwa Oasis is a real settlement in western Egypt, close to the Libyan border. In the game, it provides the opening setting and establishes Bayek's identity, family, and duties before he travels across a much larger version of ancient Egypt.
Bayek's investigation eventually contributes to the formation of the Hidden Ones, the historical precursor to the later Assassin Brotherhood. Siwa is not the same place as Alexandria, Giza, or the Faiyum; each is a distinct region represented in the game.