I always assumed that this final scene in “Indiana Jones and the Last Crusade” (1989) was filmed on location in Petra, Jordan. That building carved out of a rock wall is real. But on second look, I think the actors are blue screened in to the location.
(This was 1989, before they were using GREEN screens, BLUE was dominant).
What do you think?
Maybe the area in front of the real Petra is too narrow to fit a film crew?
mattkprovideo 
Could be, but it may also be a combination of practical lighting and the distance between the foreground and background. You notice in the scene where Indiana Jones says “a lot of fond memories of that dog” that the background is out of focus and in previous scenes with the background is in sharp focus. If it was blue screened in after the fact you might expect that there would be consistency in the background focus because the reference shots used would be very crisp … so then it would have been a directorial choice to keep the background sharp in some scenes and in soft focus in others which begs the question why? The other explanation is that it was shot on location and the director used a variety of lenses in these scenes which created the different focus effects, some reasons for this could be that different light levels necessitated lenses with specific f-stops. The scene is shot mostly in shadow and it appears they are using a blue light or a reflector to achieve the blue highlights (most likely to contrast with the red rock of the background) this contrast which is used to help separate the actors skin tones from the background and make them stand out could also create the appearance of being entirely separate from it. If it is blue-screened it is pretty exceptional work for its time. Another reason to suppose it may be on location is that in nearly all of the scenes there are slight wind effects scene on the costumes and hair, Sean Connery’s tie, Marcus’ hair both are slightly and randomly blown by the wind. It’s not impossible to produce these in studio of course but if so it speaks to an enormous attention to detail and very specific choices … why only see these two effects on these characters? Interesting question.