Tengu's Vault is located at the south end of rocky Skimsands and is guarded by the Samurai of the United Cities. The Vault seems to be a military prison presumably for the worst criminals of the empire. The Vault Warden oversees the prison.
When approaching, the gate guards will tell you not to approach and are going to attack if you're trespassing anyways. As of 0.97.6 if you have good standing with the United Cities the guards will only react verbally but will not attack the player which allows you to see what is inside.
Currently the inside resembles a police building, floor 0 bed area/training area, floor 1 cooking/eating area, floor 2 prison area.