In the caldera of an active volcano is a large lake. The heat from the volcano causes the lake to steadily boil and steam. An island lies at the heart of this lake and upon the island stands a stone fortress known as The Boiling Rock. The Boiling Rock is a prison, virtually inescapable. Travel to and from the island is handled through a teleportation circle.
The boiling lake prevents escape on foot. The water easily destroys impromptu boats and kills anyone stupid enough to try swimming.
The huge cloud of steam that flows from the lake into the air above the volcano is hot enough to kill creatures flying in the vicinity of The Rock, so escape by air is unlikely.
It goes without saying that tunneling into an active volcano in order to pass beneath a boiling lake is right out.