In "The Veldt," the nursery is the place where Peter and Wendy use their imagination to eventually kill their parents. Specifically, the nursery is a computer-simulated room that is able to pick up on its users' imaginations and create that specific world in absolutely realistic ways through the walls and use of sounds and "odorphonics." In this room, the children imagined the death of their parents in the African veldt, an event that occurs at the end of the story.
More importantly, the nursery stands as a surrogate parent for the children. George and Lydia Hadley purchased the room as part of the HappyLife Home system to perhaps alleviate some pressure on themselves, but eventually found that their parenting could not offer the same thing the nursery and the rest of the home did. At one point, Lydia despairs at her inability to mother her children. She says:
“The house is wife and mother now and nursemaid. Can I compete with an African veldt? Can I give a bath and scrub the children as efficiently or quickly as the automatic scrub bath can? I cannot.”
This is why the children become so protective of the place. They are protecting their surrogate parent, the nursery, from the real parents, George and Lydia