In Assassin's Creed II, Ezio reaches the Vault beneath the Vatican.
The Vault is an Isu chamber hidden below the Vatican in Rome. Ezio enters it near the end of the game after confronting Rodrigo Borgia, who has become Pope Alexander VI. The chamber contains a holographic message from Minerva, an Isu figure who warns about a future catastrophe.
The scene is important because it connects Ezio's Renaissance adventure to the modern-day storyline involving Desmond Miles. The Vault is not the same location as Monteriggioni's Sanctuary, where Ezio stores equipment and receives guidance, nor is it an Observatory, the device central to Black Flag. Those names are all associated with Assassin's Creed locations or artifacts, which makes the specific Vatican chamber easy to mix up.