Khan Armory is... East?... of the encampment. I think it's East. Anyway, you have to pass it on the way to Red Rock Canyon. It's a ruin of a house and the entrance is through a bulkhead on the ground. I just stumbled across that place for the first time last night.
There is a ruined building before you even enter the Red Canyon. In its basemant (accessed through a trap-door on the side of it), there's a chick called Armorer selling a lot of elite items, can buy there a Power Armor too.