I think it's deep under Peregrine Island. From what I understand, it was originally supposed to be a part of the Arena system, used as some sort of waiting room. Plans changed and it wasn't actually used. I'm not sure how to get there personally, though I think you can use one of the half-buried doors on that island with all the Rikti Monkies on it. Stand next to the buried door, log-out, log-in, and you'll be under the map. From there, it's a matter of flying around under PI until you find it.
Edit: scooped by Logan!
Edit: scooped by Logan!