I remember it as a nickname for the churchyard of Christ Church in Spitalfields (in East London, as mochyn says), which was a regular gathering place for vagrants and methylated spirit drinkers. I think 'Itchy Park' was moe usual than 'Itchycoo Park'.
The Itchycoo Park in the song is actually University Parks in Oxford. The Small Faces were sent to stay in a hotel in Oxford to get them away from the London scene and supposedly concentrate on writing more songs. They got very stoned and wandered around the park on one particular day, and that's where the song came from. (From a 'Story Behind The Song' article in Mojo, and the accompanying book.)
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