Sandstorm's Headquarters is the organization's center of operations where the members gather. The building is located on a farm on the outskirts of New York.
To keep the location safe from the authorities, Jane was always taken to and from there blindfolded.
Jane was taken to the compound by Roman who mentioned that she wasn't coming back to the FBI ever again; as soon as she was left alone in her room, she stole Roman's phone from its hiding spot and called Weller once she discovered Shepherd's plan.
Knowing about Shepherd's plan, the team, led by Nas Kamal -after Weller was lured away from the platoon-, raided the compound with several other FBI agents but ignored that it was just a trap to kill them while Jane watched as the building collapsed.