From the full (subscription only) Oxford English Dictionary...
of (preposition) sub-definition 22
Connecting two nouns, of which the former denotes the class of which the latter is a particular example, or of which the former is a connotative and the latter a denotative term (i.e. genitive of definition or specializing genitive).
The OED's most recent citation for the usage is The Independent (newspaper) 12 Oct 1995...
Lift-surfing was first suspected in the London borough of Greenwich eight years ago.
Apparently the format was once used in contexts like the river of Thames - we no longer say that, and the capital of Dublin has become quite rare. But the small village of XYZ is still "natural".
EDIT: I forgot to address the What does it mean? aspect of the question. As @Paul's answer points out, in principle the word of can normally be replaced by just a comma (or a dash, or the second term could be enclosed in brackets). The two noun phrases before and after that point are in an "appositive" relationship, where both refer to the same thing. So you could think of of here as having the meaning aka=also known as / which is called, if that helps