Aegon's Wall is a location mentioned in Season 1 of The Haunted.
Aegon's wall is a small town several days from the Red Keep. It has only been seen from the outside.
It was mentioned in "Sunken Treasure" by Grayson, who had been going to the walls in the same week Drake was ill. It is unknown if the location is in The Empire, however most likely in the Badlands.