From Bulbapedia, the community-driven Pokémon encyclopedia.

Under Colosseum is a location in Orre. It is located in the northern part of The Under, reachable only by obtaining a UFO F-Disk. Cipher Admin Venus once used the Colosseum to distribute Shadow Pokémon to trainers who won knockout challenges, just as Miror B. was in Pyrite Town. Once Wes defeats Venus and she flees, the Colosseum resumes normal operation, offering cash and TM prizes rather than Shadow Pokémon.

The Under Colosseum is not present in Pokémon XD: Gale of Darkness due to The Under no longer existing.