From http://www.niko-niko.net/sites.html:
Ashita no Nadja is the story of a young girl who grew up in an orphanage in England. One day she learns she may not be an orphan after all, and suddenly finds herself chased by some strange men. She ends up fleeing the orphanage and joins a travelling troupe of entertainers. The show follows her travels across Europe as she tries to find her mother and figure out who she really is.
A bit more info about the manga is at http://www.niko-niko.net/nadja/ under 'Extras', and info about the anime series and merchandise.