Westeros

At a guess, this is not his being tortured, but his having Qyburn removing the rotted flesh of his stump, and using boiling wine and pultices to try and kill infection. In the novel, Jaime insists on not taking milk of the poppy to deaden the pain, afraid that if he becomes insensible Qyburn will remove his arm up to the elbow as he advises due to the state of decay.