Lucia ends up in Leonida Penitentiary after a fight for her family. She gets out through what Rockstar calls luck, and the game begins on the other side of that wall.
The prison is named in Lucia's official profile, the only Rockstar text that mentions it so far. Both trailers show her leaving prison life behind, and press images show her in prison clothing.
Rockstar has not said where in Leonida the penitentiary stands, or whether you can return to it during the game.