As I understand it, it's a US thing. In areas with snow the local military branch had a drill hall as part of the armory, to carry out drills in winter. These were large open interior spaces.

The military moved away from using urban armories. These became repurposed as sports halls, places for events, and so on. For examples, https://fightingillini.com/facilities/ui-armory/5 and https://www.wakefieldma.gov/Facilities/Facility/Details/Dril...