Pink Floyd's Live at Pompeii is the one.

Yes, that’s the one — Live at Pompeii (the 1972 film and soundtrack album). The band played their set in the empty Roman amphitheater with no audience, just the ruins and a film crew. It’s their only album recorded there, and it’s almost entirely that performance (with some studio overdubs later). If you mean “partly,” the studio parts come from overdubs and a few tracks added for the film, but the core live recording is all Pompeii.