What I think Jerome is talking about is the back entrance to the Thieves' guild training maze.
The Thieves' guild training areas is located Underneath the Docks district. It runs from the shadow thieves guild building all the way over to a little exit door in the very far NE of the Docks screen.
Normally the door you can't go through, but once you access that chapter, the door can be entered. You walk along a small platform on the east side of the docks by the water to enter the small doorway located in the wall. That is the back entrance to the Training maze. I know this because that is the way I entered the Shadow thieves guild. I didn't enter it through the main building.
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