There is only one reference to the cellar in the short story, "The Most Dangerous Game." Moreover, there is no description of it. So, we have to use our imagination to think about what the cellar might look like. We have a few clues.
First, general Zaroff says that he has about a dozen "pupils" in the cellar. So, the cellar is probably decent size to house that many people.
Second, Zaroff mentions the cellar in the context of hunting humans. He calls its a training center, because he wants his huntees to get in shape for his "game." Zaroff might actually be serious in what he says, because he a man who lives for the thrill of hunting. In other words, he wants a challenge. This is precisely why he is so excited about hunting Rainsford, an experienced hunter.
In view of these points, the cellar might be a decent sized training ground to prepare men to be hunted.