I just found the thorn and went inside but just saw all guards? What is this place?

Actually a cool place. I you can place bets on arena matches like oblivion.

Participate in arena matches and you get to choose what you go up against and get caps and xp for surviving.

And as an added bonus you can set up matches for like 300 caps. Ever wonder how a Fiend would do against a Deathclaw? Pay 300 caps and find out!

Where on Earth is it??

Westside i believe, i set up a match between a deathclaw and 3 giant radscorpions.....nothing happened they just stared at each other.

Who do you talk to I only saw generic guards?

The red-haired chick (only named NPC there afaik) - she should be standing right above the arena.