There is currently a placeholder entrance, in the form of an instance whirlpool, blocked by a gate. At the gate are two Stormwind guards (NPC). Many fans have wondered and speculated about the building. In fact, Warcraft RPG: Lands of Conflict confirms that the building surrounded by water is actually the Vault.  The Stockades prison is for normal prisoners, while the Vault is for powerful renegade Mages,  Archmages, Warlocks, Ogre Magi, Demons and other super-powered beings, which require maximum security. The Vault building is located at the center of the canals between the Dwarven and Cathedral Districts in Stormwind city.  The building, as you can see on the Stormwind City Map, looks exactly like The Stockades prison.

Unofficial rumors are that some heroes of the Second War might be in that prison.