How about a police station as an Under Siege-style setting? Then it could be just some generic True Justice-style building (hell, they could use the same building in this and whatever TJ movie that they will hopefully do to finish off that story, and save costs).
The story could have some international criminal leaving a bomb which will decimate the city, but ironically picked up by local PD on a simple driving offence / carrying a concealed weapon offence. They don't realise who he is, and he just sits in the station waiting for his heavily armed crew to pick him up.
Seagal could be either the head of one of the Detective units (TJ-style) or just the husband/father of a cop who works at the precinct, and turns up as it's getting raided. They kill all the cops, and take some hostages, but their egress is halted by the Feds who surround the building but can't take any further action because of the hostages. Seagal is caught up on the inside, and the only person who can save the day.
Location-wise, it can be one building, one set, saving loads of money. And I'm sure Bulgaria can pass for anywhere if you're just looking at something this simple.
I know it's close to the Season 1 finale for TJ, but they could do it better than that, and have it focus more on Seagal's character, rather than a whole team, which would hopefully remind us more of the Die Hards than TJ...
Just brainstorming.