In the A Song of Ice and Fire novels Selhorys is a settlement under the rule of Volantis. It is located at the confluence of the Rhoyne and the Selhoru. It pays tribute to passing Dothrakikhalasars, which can easily reach the city from the western-most edge of the Dothraki sea, which is located not far to the east of the settlement. By the standards of the Free Cities, Selhorys is a middling-sized town, although by the standards of Westeros it would be a large city.
The events that transcur in Volantis in the TV series take place in Selhorys, most notably Tyrion being kidnapped by Jorah Mormont, who then does take him to Volantis.