I have read posters on the outside of Ellies garage that state the Slaughterdome is located in "the fridge". The Fridge has a transition point in the West of Three Horns Valley. The transition is blocked by ice and there is a panel nearby that looks like it should operate some flame jets to melt the ice. Im currently level 12 and the enemies at the Bandit camp before it are level 13+. I havent found a way to open the door yet, but I will post as soo as i do.