The Last Stand Armory is describing the Armory that Cole goes to for the ammo shells for the Plasma Turrets.
After Ethan linked up with Delta, Chew sent Cole to get some shells from the armory, he has no support since the Armory is behind the defensive barriers and is elevated. Cole walks to the room, not cautioned that a mutant is there. Once he has gotten the shells, Cole hears a mutant scream and boxes falling, however he does not see the mutant behind the boxes. He then stands there surprised, if Cole spends any more time, he will be struck by a mutant who banged down a door.
The Armory has several rooms, most closed because of mutants, the room with the shells has a window staring out to a black pit and a ledge with forklifts.