Tessa Thompson has teased this setting for Men in Black: International before in an image that showed the actress, who plays Agent M, and Chris Hemsworth, who plays Agent H, climbing a dune while holding umbrellas, which may or may not have just been for the actors between takes.
But of course, as Men in Black, these two are in the business of saving the universe, and for some reason, Men in Black: International sees them heading to the desert to do so.