THAT'S UNDYNE'S HOUSE.
YOU KNOW, THE ONE WITH THE SKELETON IN FRONT.
She's Playing Piano is the 82nd track in the Undertale Soundtrack. It is based on a section of the track Alphys. It plays right before the hangout with Undyne while Papyrus and the protagonist are outside Undyne's House.
The track is slower in-game. This song seems to have been made to sound as if it was recorded live, or was in fact recorded live. It also has a slight resemblance to the song Doctor from the webcomic Homestuck. Even though he did not make the song itself, Toby Fox did produce the song Savior of the Waking World, which does utilize Doctor's motif, and many other songs for Homestuck.
- The track stops once Papyrus knocks the door. That, along with the track's filename, implies that it is indeed a track of Undyne playing her piano.