(1) If you're talking about a real dungeon, then "in" is probably the more appropriate. But you're talking about some establishment providing supposed entertainment named "The Dungeon," likely with the article. In that case, "at" is more appropriate.
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HelaThe atmosphere (1) in the Dungeon
Helawalking (2) [around / around in] the DungeonTwo choices, above.
Heladressed (3) as monsters, ghosts or executioners