Q. What is it supposed to be on the show?

A.  An orgy involving humans and 'hosts', held in the wild Mexican town of Pariah.

Q. When do we see it?

A.  In Episode 5, after Logan has dragged a reluctant William and Dolores into the no-holds-barred Mexican town of Pariah, and they have been introduced to a number of villainous characters, they wind up at this rather elaborate orgy.

Neither William nor Dolores choose to participate in the sex antics. Dolores takes the time to explore the unusual building, where her old memories continue to resurface in disturbing ways. She eventually overhears a plot involving stolen nitroglycerin, and reports back to William about her discovery.

Q. What is it in real life?

A.  This scene was shot at a very unexpected location: inside a cemetery mausoleum.

Q. Where can I find it in real life?

A.  This was shot inside the central mausoleum at Angeles Abbey Memorial Park, a small cemetery at 1515 E. Compton Blvd, in Compton, CA.

The mausoleum, built in 1923, features very distinctive, somewhat eccentric architecture, both inside and out.

Some say it was built to resemble the Taj Mahal, and while it's onion domes do somewhat resemble that Indian landmark, in my opinion, most of the building's architecture actually looks more Assyrian – or perhaps Moroccan – than Indian.

Here are some photos of the Abbey's equally ornate interior:

For the production, they covered some of the wall crypts with red cloth, to make it less obvious that they were inside a tomb... But that becomes clear if you take a closer look at the walls, when Dolores is running through those long hallways.

Here is a map link. 

And here is a Google StreetView of the same building.

Warning: I probably don't have to tell anyone that the city of Compton has a reputation for gang activity and violent crime, since that's been immortalized in the album & movie "Straight Out of Compton", featuring gangsta rap group N.W.A. If anyone doubts that Compton can sometimes be a dangerous place, bear in mind that when they filmed some of that 2015 movie's scenes in Compton, there was an actual drive-by shooting right across the street from where they were filming. And later, there was a fatal hit-and-run incident on the set itself that resulted in manager Suge Knight being arrested for murder. And if that's not enough to discourage you from visiting the park, bear in mind that in 1976, an elderly woman named Martha Eddington was bludgeoned and strangled to death inside the mausoleum, where she had been visiting her family's crypts. She was later buried in the same mausoleum.

Q. How the heck did you figure out where it was?

A.  I initially had no idea where this was filmed, and since it was only an interior scene, for all I knew it might have been simply a studio set built in a soundstage.

Fortunately, an online friend (and fellow Westworld fan), Chris White, discovered the location and let me know about it.

It was then just a matter of my tracking down photos of the mausoleum's interior to make sure that they matched the scene, and once I did, it wasn't hard to recognize that unique architecture. (Thanks, Chris !)