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Are you referring to the fourth place they visited? The only mention of a wall, is their passing through a wall onto a country road.
As the words were spoken, they passed through the wall, and stood upon an open country road, with fields on either hand. The city had entirely vanished. Not a vestige of it was to be seen. The darkness and the mist had vanished with it, for it was a clear, cold, winter day, with snow upon the ground.
A Christmas Carol