'Salonica' or 'Salonika' is, of course, Greece's second city, and capital of the province of Macedonia, 'Thessaloniki'. Apparently, it was named after the daughter of one of Alexander's generals and means 'Conquest of Thessaly' (I bet she would have preferred 'Jane' or 'Susan'!).
During the 1st World War an allied expeditionary force was sent to Salonica but, as a previous poster has pointed out, didn't get to do a lot of fighting, mainly because the Greek government of the day couldn't decide how much involvement it wanted in the war (they were bound by treaty to let the force land).
If you want to know more about one of the world's most amazing and tragic cities try reading Mark Mazower's recent book 'Salonica: City of Ghosts', HarperCollins, 2004. This contains a fairly extensive account of the Salonica campaign.
I think I've heard a Clancy Brothers recording of the song 'Salonica' but I am having trouble tracking it down.