Looking at the map of Imperial City, Memorial district is located far north between The Arena District and The Elven Gardens District.
This section of the city was a thriving market prior to Varen Aquilarios’ conquest of the city. After he took the Ruby Throne, Varen converted the district into a cemetery and memorial dedicated to all the soldiers who died fighting Leovic’s troops. This has made the Memorial District fertile ground for Molag Bal’s twisted necromancers. The Worm Cult and Molag Bal’s Xivkyn work around the clock, exhuming graves and raising the dead.
(This district is eventually reestablished as the Imperial Market District, as seen in Oblivion.)
There’s a lot to see in the Memorial District—this is where you can enter the Imperial City Prison dungeon (to the very north.) You’ll also find the Bone Shard Trophy Vault and Memorial Armory crafting hub. And if you smell something a little putrid along the way, Volghass the Flesh Atronach is a boss who might be making its rounds nearby.