Riverside Park, upper level at 81st Street, River Run Playground and service building.

References:

1. NY City Parks Department Press Release, December 19, 1939, mentions this playground in connection with a Christmas event, indicating it's not newer than 1939. There is no other mention of this playground in Parks Department records, 1934-1943.
2. New Deal Assistance in NYC Parks Department Projects, 1934-43.