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Magister Illyrio looks out across the narrow sea with the siblings Viserys and Daenerys. Note the Azure Window, one of the natural landmarks of Malta, to the right. This palace—presumably Illyrio’s own in the TV series—must be standing on cliffs above the site of Daenerys’s wedding. Shots of the Azure Window can be seen here, here, and here.
There seems to be no evidence that the Free City of Pentos will really be glimpsed at all in the series, doubtless for budget reasons. Instead, it seems this palace location will be treated as a rural one, away from the city.