Not all places on the map are actually accessible. A few are just there for flavor, like Hater’s Bridge. The Orphanage in particular is part of Ambition: Light Fingers. As a player you may or may not ever actually encounter it, depending on your Ambition (and if it is your Ambition, I’m not sure you access it from the map).
The places that are locations you can unlock, you generally do so by playing the "Making Your Name" storylines. A Name In Seven Secret Alphabets, A Name Scrawled in Blood, etc.