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?'

Is Brian an actor? "On location" is often used to describe when actors are filming at a particular location other than a film studio, usually someplace far from where they live. For example if there's a TV show that normally films in a Hollywood studio does a special episode in Europe and the cast travels there to film it, they would be on location.

"on location" is used when a movie team is filming a movie and they set up all the cameras in a place to film the actors for a movie scene.The place where the scene is filmed is called the location.