Mu is an alleged "lost continent" in the Pacific Ocean.
The idea originated in the 19th century, when Augustus Le Plongeon, a British "amateur archaeologist", claimed that he had translated Mayan writings describing a lost continent in the Atlantic Ocean - i.e. Atlantis. According to him, after the continent sank, refugees founded the civilizations of Ancient Egypt and the Yucatan Peninsula. Le Plongeon got the name "Mu" from the earlier work of Charles Étienne Brasseur de Bourbourg, whose attempts at translating a Mayan codex led him to believe that this was the name of a land lost in a catastrophe.
In the early 20th century, the name was recycled by James Churchward, who used it for an alleged sunken continent in the Pacific. According to him, the moai (statues) on the Easter Island were remnants of that civilization.
In case it's necessary to be said explicitly, reliable evidence for a "lost continent" in any of these locations is non-existent.