Most of the palace was created in Hatfield House, a Jacobean house outside London in Hertfordshire. The property has been used frequently for filming, including on “Wonder Woman,” “The Crown” and “Shakespeare in Love,” and presented the best location for several reasons, but particularly because Hatfield would allow the use of candles, an important element in Lanthimos and cinematographer Robbie Ryan’s vision. The team could also build in walls and structures as needed for a particular scene (the palace entrance in the film, for example, is entirely a construct).
Source: latimes.com – Los Angeles Times