Loreto Loreto: The Black Madonna of Loreto Near Ancona on the Adriatic Sea. A modern copy of the original statue, lost in a fire in 1921. 3ft, wood. Part of what made the Madonna of Loreto world famous is the house she came in. It is a dark, little brick house called the Holy House of Mary, because it is believed to literally be the house where the Virgin Mary lived in Nazareth.