A Conundrum
If it's not Prisoners' Lake, where is it? Let us review what little data there seems to be:
Covington has a street named Quarry Street. Click the thumbnail to get a bigger image:
On assumes there was a quarry near by.
The Covington city directory of 1903 lists one quarry, the 1910 directory lists three.
1903 Covington City Directory
1910-11 Covington City Directory
The Cincinnati Enquirer, November 11, 1884, reports that a political celebration was enough to loosen the rocks at Wolfe's Quarry. Where was that? Don't know.

We know from the Cincinnati Enquirer, November 15, 1893, that the city authorized the payment of the workers, and that there were 331 of them! But no indication of where the quarry was.

The Cincinnati Enquirer reported on November 19, 1899, that a 73 year old man was injured at Haig's quarry in Lewisburg, which is consistent with Quarry Street, but not likely Devou.

There was a letter in the Kentucky Post, on January 2, 1908 that cites the “old” Griffin quarry west of Western Avenue. The old Griffin Quarry could have a conveyor elevator that ran down the hill across Willow Run. (Willow Run these days is a giant culvert under I-75, more or less.) Another vote for Quarry Street.

White we believe most of the above stories would indicate the big Covington quarry in those days was at Quarry Street. But we also find this item, that seems to point to rock being quarried at Devou before the prisoners were sent in.
Kentucky Post, September 26, 1911
This one, too, seems to indicate the Quarry street location:
Kentucky Post, October 27, 1910
There was also a quarry included in the deal when the City bought the turnpike going south. Another vote for Quarry Street. From the Cincinnati Enquirer, March 15, 1913:

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Or hey, maybe it was in Newport!

1903 Newport City Directory. We assume it was offices only.

Cincinnati Enquirer, July 27, 1895
Cincinnati Enquirer, March 17, 1903

Cincinnati Enquirer, February 4, 1905