Allegedly Thrall settled his people in the desert of Durotar as a form of "penance", thereby screwing them over and permanently dooming them to expansionist wars for the resources they need.
But settling in Orgrimmar was actually a sound choice. Look at the coastline of Kalimdor. The coast of Azshara, to the north, is overrun by naga. The orcs couldn't have settled there peacefully. And it doesn't have fresh water access except for the Southfury River, which is guarded by night elves and is too far away from the coast, where the orc settlement would presumably be.
North of Azshara is just a bunchy of rocky mountain cliffs until you get all the way over to Darkshore and Ashenvale, which were held by the night elves. Meanwhile, to the south of Durotar you have the coast of the Barrens, where Ratchet and Northwatch Hold are now. But this narrow strip of coastline has no source of fresh water, doesn't afford much farmland, and is exposed to attacks from the sea (such as from the Kul Tirans). South of there is Dustwallow. It has the same problem of being exposed to the sea, and settling in a swamp has to be at least as bad as settling in a desert. South of that you just get more deserts and cliffs all the way around the continent. Desolace and Feralas are way too far away from where the orcs landed (and the orcs had no idea they existed), & are not especially habitable either. The orcs could not settle in a jungle, and Desolace is desolate and unappealing.
Durotar may be a desert, but it contains the floodplain of the Southfury River. Presumably, the orcs get most of their food by farming this floodplain. The location of Orgrimmar is extremely defensible, it's right next to the river, and has access to a mediocre but still serviceable port. It also has close access to the natural resources of Ashenvale and Azshara, and commands the geographic confluence of Ashenvale, Azshara, Durotar and the Barrens.
One place it might have been easier to settle is at the mouth of the Southfury River. But that location doesn't have the defensive advantages of the Orgrimmar canyons. For an embattled people like the orcs it's reasonable Thrall thought the defensive advantage was important.