In addition to actually creating the database, I specified the schema to "dbo".
c.SetEnversProperty(ConfigurationKey.DefaultSchema, "dbo");
c.SetEnversProperty(ConfigurationKey.DefaultCatalog, "MyCatalog_Audit");
Also, I have my own RevistionEntity class, so, I needed to add the catalog and schema to my hbm.
<?xml version="1.0" encoding="utf-8" ?>
<hibernate-mapping xmlns="urn:nhibernate-mapping-2.2" assembly="MyAssembly" namespace="MyNamespace">
<class name="MyRevisionEntity" table="REVINFO" catalog="MyCatalog_Audit" schema="dbo">
<id name="Id" column="MyRevisionEntityId">
<generator class="identity"/>
</id>
<property name="AuditDate"></property>
<property name="UserName"></property>
<!--modifiedEntityNames-->
<set name="ModifiedEntityNames" table="REVCHANGES" catalog="MyCatalog_Audit" schema="dbo">
<key column="REV"/>
<element column="ENTITYNAME" type="string"/>
</set>
</class>
</hibernate-mapping>
HTH
Chuck