Orzammar chantry can be founded by Brother Burkel during the events of Dragon Age: Origins, if the Warden agrees to help Burkel in The Chant in the Deeps quest. According to Burkel, one of his coverts is a merchant and offered his shop as a temporary chantry.
It is located in the Orzammar Commons next to Tapster's Tavern after completing The Chant in the Deeps quest.
Note: After completing The Chant in the Deeps you must leave the Commons then come back for the Orzammar chantry to be available.
The Chant in the Deeps