From A Wiki of Ice and Fire
The Shadow Lands is a mysterious, mountainous area in far eastern Essos. The city of Asshai is located at the southwestern tip of the Shadow Lands. To the north and northeast the Shadow Lands meets the Mountains of the Morn. Leng and the Manticore Isles in the Jade Sea are to the west and the Saffron Straits are to the south. Ghost grass grows throughout the Shadow Lands, which also contain the ruined city of Stygai.
A Game of Thrones
Illyrio Mopatis tells Daenerys Targaryen that the three dragon eggs he gifted her with as a wedding gift come from the Shadow Lands beyond Asshai. Illyrio may have procured them from the Shadow Lands himself, but he does not tell Daenerys exactly how he went about obtaining them. Daenerys recalls hearing that the first dragons had come from the east, from the Shadow Lands beyond Asshai and the islands of the Jade Sea. 
After entering Vaes Dothrak Daenerys rides her silver past plundered goods. Some of the statues she sees are so misshapen and terrible that she can scarcely bear to look at them. Ser Jorah Mormont tells her that they have likely come from the Shadow Lands beyond Asshai.
References and Sources