Where does the Calypso's Compass lead me to?

Solution 1:

The compass leads you to a secret room that contains 2 chests. The chests usually contain blueprints or stat upgrades.

From my experience they were good blueprints (armor I was not finding in the area normally).

You will not be able to locate the room without the compass.

edit: user2339067 says he was able to get to the room without the compass, so it might be possible. I have yet to find/confirm this information independently with any other online resources.

Solution 2:

Some additional information:

You can find the room without the compass, there will however not be ANY indications for it except for seeing an up arrow in a random location in the room.

Source: I found it randomly when I did not have the compass