Yep, that's a vault.
Fallout TV show

The birthday celebrations for the Fallout franchise continued today. This time, the latest is from Amazon. We've seen a lot of love this month for the games and some of the extended media, but today we were finally treated to the first ever look at the Fallout TV show that Amazon is helping to develop alongside Bethesda.

Well, it's not much. I'll tell you that right now. Amazon offered just a single screenshot from their upcoming Fallout TV show. It doesn't show much outside of a couple of things. For instance, we see an open vault door. According to what I know of Fallout, that checks out. We also see that some people are wearing jumpsuits from Vault 33. According to my knowledge of the games, people who live in the vaults do tend to wear jumpsuits.

Vault 33 has never been depicted before in the games. This presumably means that this gives Amazon a bit of a blank slate to tell whatever stories they want to. It also suggests that the vault in this TV show is somewhere in the western half of the United States. In fact, it may be located somewhere near New Vegas, which is home to Vault 34.

In related news, Bethesda says that they're going to release a free next-gen update for Fallout 4 on PlayStation 5, Xbox Series X|S, and PC in 2023. This update will add 4K support, a 60FPS performance mode, bug fixes, and some Creation Club content. Since the PC already has those graphical options already, it will probably just get the bug fixes and new content.