Fishing Cone is located along the shore of Lake Yellowstone in a hot springs area near West Thumb village. Note that about a century ago tourists basically could go wherever they wanted. No doubt, they didn't actually cook the fish, but who knows?
The shoreline of Yellowstone lake has been gradually changing. During the spring melt, water levels of the lake now inundate the spring deposits. In the 1920's and 1930's the cone was known to erupt, but modern high lake levels have cooled the spring.