Phrygia was a location in the antiquity, in Anatolia, which is now in modern day Turkey.
Midas, who plays an important role in the games, was a king of Phrygia, so if Midas had a palace, it would most likely be located there.
The Greek architecture present in these levels can also be found in this region of Turkey as the folk who originally populated Phrygia were from Greece and they bought Greek culture, music and architecture with them. Colosseums have been found all over Eastern Turkey and also Christian monasteries, which can give explanations, on behalf of St. Francis' Folly and Colosseum. The Palace and the Colosseum were probably remains of Pessinus, the city within Phrygia where Midas ruled. The monastery was built on top of the ruins, since the monks knew of the Tomb of Tihocan which lay below and they decided to protect it and keep it secret.