Where was The Final Problem filmed?
2017 episode of Sherlock directed by Benjamin Caron
The Final Problem (2017) was filmed in Pinewood Studios, Tenby, St Catherine's Island and St Catherine's Fort, 4 places named in its Wikipedia article, in the United Kingdom. Wikidata records no filming location for it at all, so the article is the only recorded source. Each place says where its claim comes from.
Places per Wikipedia's article
The Wikipedia article names 4 places. Each links to the sentence that says so.
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Studios & sets
Pinewood Studios
England
British film studio and television studio situated in Iver Heath, Buckinghamshire, England
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Castles & palaces
St Catherine's Fort
Wales
19th century fort in Wales
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Landscapes & nature
St Catherine's Island
Wales
Tidal island in Pembrokeshire, Wales, UK
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Towns & cities
Tenby
Wales
Town in Pembrokeshire, Wales, UK
Also shot in these places
The Dark KnightThriller film2008
V for VendettaScience fiction film2005
Harry Potter and the Goblet of FireFantasy film2005
Harry Potter and the Deathly Hallows – Part 1Fantasy film2010
SkyfallSpy film2012
Dr. NoSpy film1962
Star Wars: Episode VII – The Force AwakensScience fiction film2015
Pirates of the Caribbean: On Stranger TidesHorror film2011
Doctor StrangeScience fiction film2016
A Clockwork OrangeScience fiction film1971
Casino RoyaleSpy film2006
AliensHorror film1986
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