Total War: THREE KINGDOMS

The bandit lair is the 3rd level of the bandits structure (makeshift shelter -> bandit hideout -> bandit lair) and requires a small city (lv 4 settlement administration) to construct. Zheng Jiang is one of the few characters that start without any territory, so follow the story missions for a bit and capture Taiyuan, Jinyang. After you do so, alternate upgrading between the main city and the bandits structure. You can instantly finish any construction for some gold dependent on how many turns are left in its construction, so feel free to run around and loot cities and armies to support this. I got it in 10 turns, you might be able to get it done quicker.