I don't have the option to change the access URL of my org. Why is this?
You must be a super admin of the org for which you want to change the access URL. For example, if you are super admin in org A and admin in org B, then you will have the permission to change the access URL only for org A.
Each account has a unique access URL which can be changed either at the time of account creation or later. The access URL can be changed only by the super admin of the org from the Company Settings page in the CRM account.