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After Alejandro gets picked up by Diego De La Vega, they go to Zorro's training facility. Complete Alejandro's quote: "I never thought that one day, I would be standing in the lair of a _______, the lair of Zorro."
Answer: fox
This quote is said when they are in Zorro's lair and Alejandro and De La Vega are talking. De La Vega responds with the line, "This place was devoted to the training of Zorro." Zorro was Alejandro's childhood hero, and Zorro is still his hero. That is why he says this quote.