When the limit break is executed, the Paladin roots in place, and pulls up four massive pillars from the ground. They then spread their arms wide, as if pulling open a set of double doors, and heavy walls form between the pillars.
Prior to the release of the Heavensward expansion, Warriors were also able to use Last Bastion. At the release of the expansion, Warrior was eventually given its own exclusive level 3 limit break called Land Waker and could no longer use Last Bastion; Land Waker has different animation but has the same effect.
A bastion is a heavy fortification that is built in such a way as to allow defense from multiple angles.