Swansea Bay (Photo) ends to the west with the Mumbles, an area including Oystermouth and the features which apparently gave the area its name (Photo). The latter include "Bob's Cave" (you can see pictures of Bob's Cave here).
Knab rock has now been built over, and the area protected with boulders as part of a slipway (Photo), though some of the original rock peeks through the concrete (Photo). If you are driving, you can park in a carpark a little up towards Swansea, and walk down to the Knab by heading towards the Mumbles, passing what appear to be old lime kilns (Photo). There's certainly room enough for a chapel by Knab Rock, though it is far from clear how much of the cliffline has been quarried away.
The rock-arch was in the area at the bottom of the slipway. You can still see a limb of it (Photo; Photo; Panoramic showing quarrying). At least two images of the arch are in existence and can be found in Gabb* who notes (p.28) that the arch fell in a storm in 1910. The least exaggerated picture is from 1805. You can see it overlayed on the current remnants here.
In addition, there was (is?) apparently also a rock-arch on the middle "Mumble", one "Mumble" from Bob's Cave. You can see it on a postcard here.