He's talking about the Nameless One's 'tomb' beneath Sigil, so no, you must have passed it.
And you can't skip it, so far as I know. If you just get the Bronze Sphere without exploring, Lothar just sends you right back there to get a 'skull' from your own tomb. The only way to proceed is to let yourself die several times (with the appropriate key in hand) to let the maze know it's you.
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I'm not sure about that. You need to get the Bronze Sphere for Pharod, who doesn't want any skulls, as far as I know. Later, when you need to get a skull for Lothar to get Morte back, you don't really have to return to the crypts to get your own skull. He also accepts Soego's skull and the skull of the wererat chief.
I think it is possible to skip the tomb, but I never tried it, so maybe the player is forced to go there at some point that I forgot.