It's vast. It's old. There are many caves. Christians used to live in them. Now tourists stay in cave hotels.
Or as the Lonely Planet says:
The Hittites settled Cappadocia from 1800 BC to 1200 BC, after which smaller kingdoms held power. Then came the Persians, followed by the Romans, who established the capital of Caesarea (today’s Kayseri). During the Roman and Byzantine periods, Cappadocia became a refuge for early Christians and, from the 4th to the 11th century, Christianity flourished here; most churches, monasteries and under ground cities date from this period. Later, under Seljuk and Ottoman rule, Christians were treated with tolerance.