The Wheel of Time has made the front page of the local Segovian Newspaper. As of yet there is no online version, but the front page teaser does give us two filming locations.

Translation:

The Alcazar becomes a Fantasy Set

Alcazar de Segovia is hosting the filming of the new series "The Wheel of Time", an amazon blockbuster that has stopped at the fortress to make several scenes. The Terrace of  the Well and the Terrace of the Moors would be some of the scenarios where the recordings take place.

More on page 9. Will update when more info comes to hand.

The Terrace of the Well

The Terrace of Kings or Terrace of the Well receives the name because right under this place, the castle cistern is located. It is that is, the place where the water in case of siege. And it is in this well where the canal ends, aqueduct of Segovia that crosses great part of the city since Roman times.

Click for a virtual view

The Terrace of the Moors

Located above the entrance

Click for a virtual view

Update: The local paper el adelantado now has the article online. It doesn't add much from what was on the front page.

Yesterday the filming set was transferred to the interior of the fortress, so that several trucks with filming material were parked for much of the day in the vicinity of the Alcazar. From what some members of the production team commented, the recordings will begin today, in at least three different points of the set.
Among the spaces where the filming will take place, a short shot will be recorded at the gates of the Alcázar, but most of the scenes will be collected inside the palace-fortress, specifically in the Terraza del Pozo and the Terraza de Moros .

An Instagram photo does give us a strong hint of which country the scene at the gate is set in.

Ghealdan Flag

Another Spanish news site, eldiasegovia.es managed to capture a clearer image of the banners up on The Terrace of the Well.

Interesting locations and sure to fuel speculation about what scenes those locations could be used for.

Another Update:

Alvaro Morte(Logain) posted a story to Instagram that read in part

This man here it is a amoooooor !!!! Thank you for taking care of me so much

A "La Casa de Papel" fanpage was able to identify that the shop Morte was in front of, was in Segovia.

Zoom in on the shop sign
They match!

Logian and Ghealdan banners at the Alcázar de Segovia. Are these pickups they decided to shoot to pad out Logain's story in the earlier episodes, flashbacks we'll see in the last two episodes or was this just WoTonPrime shooting out of block order due to location availability?

WAFO!