The location was the Modern-day Siwa Oasis in the Libyan desert....I do believe it was known as Ammonion or something like that in those days...
It's actually a region in EB IIRC, and their is a wonder that describes Alexander's experiences there as well. I've actually only conquered it once in a KH game of mine, so I don't remember exactly what it was called, but I know it was the location of the temple of Zeus-Ammon....
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