"They are holding a concert at the museum."
Translation:De holder en konsert på museet.
fveldig....."inne på museet" is also a good option. But I cannot figure out a simple leading rule for new learners. We say "i kirken", "i banken", "i bygningen", " i huset" but "på skolen", "på sykehuset". Maybe this can be useful for somebody: http://www.sprakradet.no/sprakhjelp/Skriverad/Preposisjonsbruk_bm/I_eller_paa/
Prepositions are always complicated......well, I think "i museet" should be permitted. If the concert is held inside the actual building there is no reason not to allow the preposition "i". But of course...."på museet" is also fully accepted.
I would've said "inne på museet" if the concert were held inside the building. But you're right about these prepositions making no sense.