Mithraeum

A Mithraeum, sometimes spelled Mithreum, is a large or small Mithraic temple, erected in classical antiquity by the worshippers of Mithras.

It actually was a natural cave or cavern, or maybe building imitating a cave. This unusaual cave  was built within or below an existing building, such as the Mithraeum found beneath Basilica of San Clemente in Rome.

While a majority of Mithraea are underground, some feature open holes in the ceiling to allow some light in, to relate to the connection of the universe and the passing of time. 

Initially, the Mithraeum functioned as a zone for initiation, where the soul descends and exits. The Mithraeum itself was as an "image of the universe".