Gaun's Cave is a location within the Dino-World, it is where Guan and here family used to live, until her parents and sibblings were killed by the parents of Dila.
It appears twice in the story. The first time is when they need a place to sleep, and the Sub-Zero Heroes are attacked by Spiders, which Guan, Scratte and Buck manage to kill. They return here later, in the third chapter, where they just spend the night. Guan says, "It is the safest place in the Dino-World at night." That is since they got rid of all the spiders.