In nuclear bunker. Apparently during the cold war the Soviets had built a bunker 65 km under Moscow to protect the top brass and the political leaders in case of nuclear disaster.
Well needless to say, that particular version of WWIII didn't pan out so the neo-Russians turned it into an exclusive party space. For $1000 you can purchase the entry level pass. For $49,000, you can get the 'End of the World Room.'