The Cathedral is at the center of the Cathedral City.
The Cathedral is where One created her brother in her scheme to kill Zero. She kept him locked in a room at the top of the Cathedral tower until the day Zero arrived.
In Branch A, Zero and Mikhail arrive at the Cathedral and fight their way to the top to confront One. After they meet, they both mount their respective dragons and engaging in battle. When Mikhail is fatally injured by Gabriel, he uses his final wish to make Gabriel weaker and making it possible for Zero to kill be him and One. After delivering the final blow, Zero is impaled from behind by One's brother and dies. After completing his sole duty, One wonders out of the Cathedral and starts a religion in honor of his now-deceased sister.