User blog comment:Jopjopjop/Volume 19 Spoilers/@comment-24098614-20150406075649/@comment-16281343-20150406104003

Rainbow Dragon is a very rare species of Dragons. The "wind" in the Underworld is not good for the egg and might run the risk of it rotting before it hatches. The air in the human world is much better for the egg.

That's why Tannin asked permission to Rias to use the underground basement of the Kuoh (not sure if town or the school).