Question: In what city is the station that featured maintenance depot Grimsby engine shed?

Context paragraphs:
Neepsend engine shed: Neepsend engine shed was an engine shed in Neepsend, Sheffield, South Yorkshire, England.  It was built by the Sheffield, Ashton-under-Lyne and Manchester Railway to provide and service locomotives for passenger trains originating or changing at Sheffield Victoria and goods trains from various outlets within the area.  The shed was built around 400 yards on the Sheffield side of Neepsend railway station.  The shed was situated on the north side of the line between Bardwell Road and Rutland Road.  It began as a four road stone building with a double pitched slate roof.

Grimsby engine shed: Grimsby engine shed was a railway locomotive maintenance depot located southeast of Grimsby Docks station in North East Lincolnshire.

Immingham engine shed: Immingham engine shed, also known as Immingham depot, or more recently as Immingham TMD and always locally as Loco is a railway maintenance depot (Traction Maintenance Depot) located on the Immingham Dock estate, in North East Lincolnshire.  The depot code is "IM".

Ipswich engine shed: Ipswich engine shed was an engine shed located in Ipswich in Suffolk in the UK on the Great Eastern Main Line located just south of Stoke tunnel and the current Ipswich railway station.  Locomotives accessed the site from Halifax Junction which was also the junction for the Griffin Wharf branch of Ipswich docks.  The depot opened in 1846 and closed in 1968 although the site remained in railway use for a further thirty years.

Mexborough engine shed: Mexborough engine shed was an engine shed in Swinton, in South Yorkshire, England.  It was built by the Great Central Railway.  The shed was built slightly to the west of the current Mexborough station on land between the River Don and the River Don Navigation.  It had 15 dead end roads, and could handle about 150 steam locomotives, mainly for use on freight trains.  The London and North Eastern Railway operated the shed from 1923.  In 1948, on the formation of British Railways Eastern Region, Mexborough bore the shed code 36B, then 41F from 1958.  It closed in February 1964.

Millhouses engine shed: Millhouses engine shed was an engine shed in Millhouses, Sheffield.  It was built by the Midland Railway in 1901 as Ecclesall engine shed, to serve the Midland Main Line.  It was used mainly to stable passenger and mixed-traffic locomotives for use on trains from the nearby Sheffield Midland station.  The shed was built next to Millhouses railway station; it had 8 dead end roads, and could handle about forty steam locomotives.  Ecclesall shed was renamed Millhouses in 1920.  Millhouses bore the shed code 25A, then 19B in 1935 and finally 41C in 1958.

Canklow engine shed: Canklow Engine Shed was a Traction Maintenance Depot located in Canklow, Rotherham, England.  The depot was situated on the Midland Main Line and was south of Rotherham Westgate station.

New Holland engine shed: New Holland engine shed was a small railway locomotive maintenance depot located southwest of the triangle of lines south of New Holland Town station in North East Lincolnshire, England.

Traction maintenance depot: In the United Kingdom, a traction maintenance depot, or TMD, is a railway depot where locomotives are serviced and maintained.  A traction and rolling stock maintenance depot, or T&RSMD, is a maintenance depot where locomotives, multiple units and rolling stock are serviced and maintained.  Each rail locomotive in the UK is allocated to a depot.  Traditionally, locomotives would have normally been maintained at the depot where they were allocated.

Grimsby Docks railway station: Grimsby Docks railway station serves the Freeman Street area of Grimsby in North East Lincolnshire, England.  This is one of the oldest parts of the town, close to the Freeman Street Market and the town's docks both commercial and fish, the railway entrance to both being over the level crossing at the Cleethorpes end.  The docks offices can be seen in the photograph in the distance, in which the line to Cleethorpes swings round to the right.  In the 1970s, this area of the town has been redeveloped with tower block accommodation as well as new housing.  The market and its lively pubs are a feature.

Supporting paragraphs: Grimsby engine shed Grimsby Docks railway station
Answer: North East Lincolnshire, England