My apologies. It is west of Stormshelter.
Find the Unredeemed statue on the west side of Stormshelter.
Go west from there along a sandy path. The hill with the spiders is on your right.
You will come up against a wall. Follow the wall north until you find steps that get you ontop of the wall.
Go up steps and go south along the top of the wall.
The dungeon door is at the south end of the wall top path.