Delphi is an ancient city on the island of Delos. All that remains of its once once greatness is the Temple of the Oracle where the the Oracle of Delphi, the Sibyl of Delos is located. The Temple also contains a fountain and Monolith with words explaining how to enter Hades.
Behind the scenesEdit
The location on the map is listed as the Oracle of Delphi in reference to the Sybil living there. However, the area is also referred to as Delphi later on when you open the gates to Hades.
On earth Delphi is actually on mainland Europe in Greece. It is not on an island.