It just displays:
The MediaWiki FAQ can be found at: https://www.mediawiki.org/wiki/Manual:FAQ
Which isn't very helpful, as I cant change this. I dont want to have to use Faq as my URL.
Topic on Project:Support desk
That's what happens when you configure Short URLs starting at the MediaWiki installation path, setup that's not recommended! (and you now know why)
FAQ is a file in the filesystem, same as index.php, load.php etc.