The included photo shows a beautiful house property with pool. You can see the production equipment on a track. We actually already got a sneak preview of this very scene being filmed, when Entertainment Weekly revealed a page from the screenplay.
“Lenny and Oliver are being used by this character, Amahl Farouk,” said executive producer Noah Hawley, last July. “He wears their faces from time to time. It’s his way of hiding himself. I had this thought of, ‘What does Freddy Krueger do during the day?’ I thought it was interesting, the idea of the downtime of these characters. They’re not being used and so what is reality like for them? They’re being placated, that they’re in some place beautiful that may not actually be a physical space, it may be a mental space, like an astral plane. They have everything they need, they’re by the pool, it’s beautiful, but at a certain point, there’s part of them that realizes that they’re just trapped in this reality they don’t have any control over.”
— Noah Hawley (@noahhawley) September 28, 2017