User blog comment:Zelron/The Elder Scrolls V: Dragonborn rumors (Imbedded deep the secrets sleep)/@comment-4976111-20121019011357/@comment-3492791-20121019041555

Well actually the wiki says it's in Vivec City. It's likely just the HQ of House Telvanni. So when they packed up and went to Solstheim they probably just built a new one.