The lock icon on a Building indicates the level you need to unlock it (shown in the upper-left corner).
You can unlock new Buildings in two ways:
1. Pay Crystals to unlock the Building if you have only one level left before the location becomes available.
2. Once you reach the required level, find 4 blueprint pieces by completing Mahjong levels in other Buildings.
After you collect all 4 pieces, select the Building to unlock it.