I agree with everything that has been said, particularly about Neal being inside. If he was inside, then they have another set that is dressed to be a NYC police station because they wouldn’t use the building in question.
I do think this is a set up to Oz. And maybe Phee was right all along, Grandma = Dorothy.
[adrotate group="5"]
"He was a lot of things to me" "The only conclusion was love"