Lorr ap Thriss
Ballon calls the location Lorr ap Thriss within the episode. Although not an in-universe source, Patrick Ness has clarified the line here: https://twitter.com/Patrick_Ness/status/802934048645582848
Talk about it here.
Lorr Hell (Lorr ap Thriss in the original Lorr tongue) was the Lorr's concept of afterlife.
It was a place where they would become statues, unable to flow between one form and another, guarded by the God of the Lorr.
Using a Metaphysical engine, Dorothea Ames, Andrea Quill and Ballon visited Lorr Hell on a mission to remove the arn from Quill's brain. Stuck in human form, Ballon needed to obtain the blood of his God in order to shapeshift and carry out the procedure. (TV: The Metaphysical Engine, or What Quill Did)