Tales From My D&D Campaign Wiki

Heidelag Castle is a large fortress in Swayne's territory in the Shadowfel, near the border with Cornello's territory. It contains a large garrison, ready to counterattack any of Cornello's forces that attempt to invade.

There are presumably also dungeons of some kind in the castle, as it was here that Zaheer was held from his kidnap in Episode 24 to his transfer to Mount Pillar in Episode 34.