From the Super Mario Wiki
The Construction Site is a location from Donkey Kong for the Arcade and Donkey Kong for Game Boy. It is a building that is being constructed. When Donkey Kong kidnapped Pauline, he climbed up the construction site with her. When Mario attempted to pursue him, Donkey Kong began throwing barrels down at him.
The construction site is located in or near Big-City, as shown in Donkey Kong for Game Boy.
In Donkey Kong, the entire game takes place in the construction site. Mario must reach the top to catch Donkey Kong.
Donkey Kong (Game Boy)
In the Game Boy game Donkey Kong, the game begins at a recreation of the original construction site. However, after Mario pursues Donkey Kong to the top, Donkey Kong grabs Pauline and flees to Big-City.