I believe this to be the Chapel of San Sebastio. Its a cute little church a few blocks from the river. It was not open when we went to visit it. The origins of the church date back to just before the big Lisbon earthquake in 1755.
The exact origins of this pretty little chapel are unknown, but it was rebuilt in 1745 by two of the best Algarvian master stonemasons, Diogo Tavares and Manuel Aleixo. The chapel originally belonged to the municipal council of Tavira which was responsible for the fraternity of St Sebastian. Its interior is Baroque with wooden walls ornamented with marbling plus it features 10 paintings of the life of St Sebastian.