The interior shots of The Lair were done at Stage 27 & 14, the exterior shots were made at Monument Valley, where no "Lair" is in existence. That meants, there was no volcano-like cave. Those trick-shots were made with matte paintings and models. If you take a really close look to the lair-paintings, you´ll notice the buildings. The real ones are located at "Canyon de Chelly" in Arizona.
Albert Whitlock supervised these shots which were painted by Syd Dutton and Robert Stromberg.
Valley of the Gods / Monument Valley - virtual shots, made with:
Cera Bell 222
Microsoft Flight Simulator X
Airwolf for FSX by Alan Devins & William Rogers