The Orphanage is a location in-game. The other locations can be found on the Map page.
The Orphanage is a moderate area in the game, as it has a Mystery Box. More buildings are planned to be added in the area around the Orphanage, expect a small town.
This area is still relatively safe from zombies after the March 2, 2015 update, but make sure to watch your back when building since it is surrounded by zombie spawns. You're relatively safe if you camp inside though unless some guy leads an entire horde inside.