Lola is Agent Coulson's red 1962 Chevrolet Corvette, and you will find it in Manhattan. To unlock the Manhattan hub, you must first complete
Find Agent Coulson and agree to complete his task. Change into Agent Coulson before getting into Lola to get the achievement.
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Alternatively there is a race you can complete to unlock Lola so that you can purchase it for 75,000 studs from a red vehicle station.