The entrance of Grjótagjá cave was possibly used for filming the scene, but the interior of the cave that van be seen in the scene was constructed on a soundstage in Belfast.
Grjótagjá is a small volcanic cave where water in the spring can top 100 degrees Fahrenheit.
Seven noble families fight for control of the mythical land of Westeros. Friction between the houses leads to full-scale war. All while a very ancient evil awakens in the farthest north. Amidst the war, a neglected military order of misfits, the Night's Watch, is all that stands between the realms of men and icy horrors beyond.