If a film is made 'on location', it means that it is shot in a 'real' place as opposed to a studio. It might be in a street or a park, or a station, or somebody's private house.
Brian is presumably involved in film-making in some way. The question is asking whether it is strange for Lily when Brian goes away to one of these places for his work.
NB Pay attention to how to ask questions : Your question should be either 'What is the meaning of ...?' or 'What does ....... mean?'