It is a cavern behind the village of Whealbrook. This is the first dungeon encountered, though the player cannot access parts of it until after the first timeskip.
Early on, The Young Hero wanders into these caverns, where he discovers Mr. Rockefeller was caught by a boulder, and helps free him.
Later, after the first timeskip, a now older Hero along with Harry revisited these caverns to find Pankraz's storage chamber, where they found a letter from him detailing his quest for the legendary hero, as well as the Zenithian sword he stashed away.