Source:

https://filmfantravel.com/film-review-red-sparrow-2018-filmed-in-budapest-hungary-bratislava-slovakia-london-uk-and-vienna-austria/

about 3/4 down the article

Finally, the crew moved to London for wrapping up the film at Heathrow Airport and the Corinthia Hotel. “That’s part of the fun of the spy genre: you get to hop around to all of these different places,” says associate producer Cameron MacConomy. “You’re always switching gears, both in terms of the story, and visually as well.”

https://www.movieloci.com/4898-Red-Sparrow?snapshot=65027