I've a bootleg of an episode of Headbanger's Ball called Iron Maiden Makes an Album, which was clearly partly recorded at the press sessions Ghost of Cain is talking about.
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Does that building look familiar?
Bruce isn't wearing the same clothes but H is,
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Dave Murray has the same coat but a different tshirt on.
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The rest of the interviews and footage seems to have been conducted in the studio where the Benjamin Breeg video was recorded, so MTV mustn't have got access to Steve, Nicko and Janick on that day.
I'd conclude that's the location you were looking for.