It was a mysterious place beyond the Badlands. It was believed to be where "special" people came from. M.K. and his mother were from there. It's possible that Sunny and Minerva were also from there. What they had in common were the things they carried, either pendant, book or compass, all had a special symbol of a city radiating lights. Some people from Azra had special power. If they were bled their eye would turn black, and their body suddenly process monstrous power. According to Minerva if someone "special" use the power too many times he or she would die. At the same time we see a "special" nomad boy in the temple was doing just fine, even he was cut many times before.