You can't place a wall piece there, but you can "trick" one of the stone doors to go there, and it will look just like a wall. Make a "Stone Door (S in)" piece (first door choice under walls on mallet and chisel tool)

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Place the piece (without locking down) in any open area and double click it to open it. Then pick it up before it closes again. Now you will have to to temporarily remove this arch piece:
place the Stone door piece on the square this arch piece was on:
and double click it to close it again - this will force it into the gap you are trying to close. Then you will have to "i wish to secure this" for this door piece (different from the wall pieces in that regard). Replace the original arch piece and click it to lock it back:
Hope this helps.