"Whinny Moor" is a moor or wilderness sort of place covered with whins, big prickly bushes. The idea (as given in the next bit of the poem) is that if you've been wicked, the whins will prick you to the "bare bane", whereas of course the virtuous pass over the moor unscathed. It's only a metaphorical moor, not a real place, though I suppose there may well be a Whinny Muir somewhere in Scotland--there's a lot of moors, and a lot of whins too.