Almost certainly Swindon Works as the loco in front appears to be of S Wales origin.

Mike Barnsley says " I don't think this photo was taken at Cheltenham, as I cannot see anything in the Cheltenham records which would cause the tender to be detached there. But, while Swindon seems most likely, it could be Worcester, where No.1123 received light repairs in 1930, 1931, and 1936, or Glouucester, in 1931, when her tender was borrowed so it could be put behind No.1126 for a trip to Swindon Works. "