Not actually The Armory[]
The info panel states that Lansom Stadium is "Also Known As" The Armory based on the newspaper article found in the Black Cats in Omerta that the Lost Heaven Lancers are playing the Empire Bay Cannons in the Armory.
However, the same mission has a gag where if you're tuned to WLH once leaving Biff's Pawn Shop, several snippets of a radio play-by-play are broadcast. In these broadcasts, it's pointed out that the Cannons are on their home turf, thus, the Armory is in Empire Bay.