Its a place by the water n Australia. Actually, the Temple of Apollo by the Bay of Baiae (now the Bay of Naples) was in ancient times considered to be one of the entrances to the Underworld. So Nyro may have meant nothing more by "I walked to Apollo by the Bay" than "I walked to the very end of the earth." At this temple, visitors could ask the Sibyl (the priestess of Apollo) about their fate. So perhaps Nyro's lyric is invoking such a pilgrimage. There is also a famous painting by JMW Turner depicting Apollo (& the Sibyl) by the Bay of Baiae, which Nyro may have had in mind.
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