Millo seems to have been some large and well fortified building, Judges 9:6 2 Chronicles 32:5, adjoining or near to the wall of the city of Zion.
Related Commentaries of 2 Samuel 5:9
2 Samuel 5:9
9 So David dwelt in the fort, and called it the city of David. And David built round about from Millo and inward.