"You can't get on to the Sheldon Building because you have to jump up from Pilgrim's Tower across a gap."

Sheldonian Theatre
Creative Commons Attribution Share AlikeSheldonian Theatre - Credit: Mark Burnett
Lyra is likely referring to her equivalent of the Sheldonian Theatre, a university building designed by Christopher Wren and named for Gilbert Sheldon, who was chancellor of the university at the time of building (1664-1668).