At a house I should imagine. Sheen House is probably an estate, and there would be grass courts on the grounds.
From the internet:
"Sheen House, Sheen Lane
In 1848 this mansion was placed by the owner, a Mr Bates, at the disposal of the exiled royal family. It was used by Louis Philippe’s son ,the Duc de Nemours, and his children... The Comte de Paris, who had to leave France because of the marriage of his daughter, Marie Amelie, to the Duke of Braganza, leased the house from 1886-1892. Sheen House was demolished in 1907; its estate covered the area of East Sheen from Vicarage Road to Upper Richmond Road West."
Sheen Lane is situated quite close to Kew Gardens and the National Archives in Richmond, and not very far from the National Tennis Centre in Roehampton. Barnes, Chiswick and other places in west London associated with lawn tennis are also located nearby.