This article is trying to restoring the matter of true historic fact for the remain site which was familiar with the local folks known as the Hall of Heavenly-King, of which is situated at Mingshashan (the Singing Sand Hill) on the top of Mogao Grottoes, by textual research combining with the study of the existing condition of the remain building and the sculptures inside of the claybricks pagoda and a careful research on the commentary of the formers with their annotation, this article put forwards an opinion that the what was called the Hall of Heavenly-King is not what was believed to be, the remaining of the claybricks pagoda-shaped building was actually a cave-temple which was donated by CAO Yan-lu , then the commander of Return To Allegiance Army (the authentic local government of Dunhuang) and his wife, the Khotan princess. The art style of the building shows a strong esoteric flavor that making it different from others buildings found in Mogao Grottoes either in its contents or the ideas in Buddhism. According to the original records in the votive writings from Dunhuang Manuscripts, the proper name had been mentioned and be called as "(here two words are missing) Tang" (here two words are missing) Monastery. The name of The Hall of Heavenly-King for this claybricks pagoda is a mistaken as were habituated to the Dunhuang local folks.