Shambahla was one of the locations visited by Goliath, Elisa, Angela, and Bronx during their Avalon World Tour. Having been rendered unconscious by Coldstone in Tibet the previous day, they woke up on "a beautiful lake in Shambahla" on June 19th, 1996. Their adventure in Shambahla is currently undocumented. 
Real World Background
Shambahla (more commonly spelled Shambhala) is a legendary place in Tibetan myth. It is a mystical kingdom or city, famed for its enlightenment and sacred wisdom. All of its inhabitants are said to be enlightened. In Tibetan Buddhism, Shambhala is said to be both a physical location (albeit one that only the worthy can find and enter) as well as a spiritual location.
The fictional Shangri-La was based on tales about Shambhala. In the early version of "Reunion" that Greg Weisman wrote for the Marvel Comics series, Shangri-La was mentioned at the end of the tale instead of Shambahla. 
- Shambahla at Wikipedia, the Free Encyclopedia