I have not come all this way for safety, doctor.
According to Cinefex #127 the plate photography for the Austrian Alps and backgrounds for the HYDRA Headquarters what shot around Sion, Switzerland.
Austrian Alps – HYDRA Headquarters
The Red Skull experiments with the power of the tesseract in his Austrian Alps headquarters. This is an approximate location (47.038938, 13.327261) based on Maps held by the Allies.
(Captain America: The First Avenger, 2011)