The party may arrive at the COEB however you want.  The entrance is a steel door with danger signs, set into a mountain.  Once the party enters, they are doomed:

GM:  You enter the COEB.  You see a door.
PC:  We enter!
GM:  You go through, and you see a monster.
PC:  We attack the monster!
GM:  You kill the monster.
     (Amazement from PC about how easy this is.)
GM:  Beyond the monster, you find a chest.
PC:  (Suspicious)  We check for traps.
GM:  No traps.  Not even locked.
PC:  Uhh...  We open it.
GM:  You find gold pieces.
PC:  Great, how many?
GM:  A lot.  Gonna sit for hours and count it?
PC:  Um, no.  We take it and go on.
GM:  Okay.  Beyond the chest you see a door.
PC:  We go through.
GM:  You go through, and you see a monster.
PC:  We... attack.
GM:  You kill the monster, and see a chest.  Beyond the chest you see a door...
PC:  Wait a minute...

And so on, forever.  (Or until you get bored.  Or until your players attack you en masse.)

The doors are never locked, the monsters die if you look at them funny, and chests are full of more gold than the PCs can carry.  And they're stuck here forever.  If they go back the way they came, they just find more doors with monsters and chests.  If they go forwards, they find more doors with monsters and chests. The cave walls are made of a special magic-absorbing rock that is impervious to damage and sucks up all spells the instant they're cast.  (It uses the magical energy of countless adventurers to make the monsters and chests.)
 

Variations and Troubleshooting

PC:  I run myself through with my sword!
GM:  Okay.  You arrive in Heaven.  You see a gate...

If they do count the gold, you can make it the same amount for each chest.  Or vary it in a regular way, and they'll think it's some kind of clue that will help them escape.  Ha.

Map-making techniques are futile.  If they leave something behind to see if they're re-entering the same room, have it be there some of the time.  Have it disappear forever other times.  Do this completely randomly.

If they ask "What kind of monster is it?", be vague.  Say it's a thing with tentacles, brown fur and sharp teeth, or something.  If they fail to attack the monster, or try to be friendly, the monster attacks them (never doing fatal damage.)  Later on, monsters may be seen wearing ballerina costumes, or running concession stands, or holding signs saying "Gee, this is dull, ain't it?"  If spoken to, monsters tend to reply "Arrghhh" or "Gnowrrrrgh."

Other variants:  Leave stupid or embarrassing messages in chests.  Have them meet a pirate who takes all their treasure, or No. 6 from The Prisoner, or themselves coming in the other direction, or laboratory mice, or Captain Kirk, or a line of Chippendale dancers.  Have the doors attack them, while the monsters prove to be full of gold and chests lead to the next room.  Lead them to Borges's Library of Babel, Heinlein's Crooked House, or a Moebius Strip, or give false mapping clues that lead them in circles or figure eights (you can point out that sideways 8 is the symbol for infinity).

 If you really want to end it, present them with a very competent and deadly monster, or have a chest swallow them up, or just have the ceiling fall on them.  Or let them find a  red exit sign that leads outside, to the Road that Goes Ever On and On...

Other QuarterQuest Adventures include:

By Joseph J. Anthony:

Bluebeard Of Happiness

Quest For The Erik Idol  (sequel: Search For The Billi Crystal)
 

By Darren Shalich:

Jet-Ski Knights Of Jesus

What's A Nazgul Like You Doing In A Place Like This?