That might be because 'oda' means 'in that direction' or 'to that point', always indicating movement to a certain location. The word for simply 'there' would be 'ott'. There's a difference between the two words. If I were to say "Menj ott!", that could still be translated as "Go there!", but it would mean that I want you to walk there, in one place, or something like that.
"Ott megy a kutya." - The dog is walking there. (~not here, but somewhere over there, there's a dog walking) "Oda megy a kutya." - The dog is going there. (TO that place; he has a goal in mind)
Not sure if I could explain it clearly.
As someone from a language that still has the distinction between 'there' and 'thither' ('där' and 'dit' in Swedish) I like when it gets used for clarification in English as well. :)
I am no expert in Hungarian, but I think it is like "oraya" in Turkish :)
A previous discussion said that "odamenni" could be written as a single word. So, could this sentence also be "Odamenj!" ?