From AWoIaF:

"Hellgate Hall was the seat of House Dryland, who ruled as Kings of the Brimstone in Dorne prior to Nymeria's War. It is unknown what happened to the castle after the defeat of King Lucifer Dryland, as he was the last of his line."

It might be interesting if the castle was abandoned and, in time, swallowed up by the sands of the Dornish desert, leaving only what appears to be a gate to hell on the surface. Hence the name "Hellgate Hall."