In the story outline of "The Cage", this planet is referred to as "Protos VI" and the area in which the Enterprise's commanding officer (referred to, at that time, as Captain Robert April) finds himself is described as "one of that planet's eerie rainbow gardens." (The Making of Star Trek, p. 58)
In the second revised final draft script of "The Cage", the one dialogue reference to this singular "colony" is instead to "the Orion colonies" and the script makes no reference to the scenes that are set in this location as actually being set on an Orion colony, instead referring to the sets used simply as "Orion courtyard" and "Orion corridor". In the final draft script for "The Menagerie, Part II", this area was stated, in the script's scene descriptions, to be "on Orien" (that spelling was consistently used for anything Orion in the two-parter's script).
Both the Orion courtyard and the Orion hallway were built on Stage 16 of Desilu's Culver City lot.