Are you talking about Union or Confederate?

I did a Google search and found the following:

Union Provost Marshal

"The land on which the Mechanics' Bank building is now situated (612 South Gay Street) was originally part of the property set aside by James White and Charles McClung for Blount College (now the University of Tennessee) in the early 1790s.[3] The Bank of Tennessee (1812–1828) was the first financial institution to occupy the site.[4] During the Civil War, this bank's building was used as an office by the Union Army provost-marshal.[1] The building was then occupied by First National Bank (1864–1872) and its successor, the East Tennessee National Bank (1872–1882).[4]"

Source: https://en.wikipedia.org/wiki/Mechanics%27_Bank_and_Trust_Company_Building

Confederate Provost Marshal

"The Ordnance Bureau was ensconced in buildings near the railroad depot, and the merchants on Gay Street shared office space with the Confederate provost marshal as well as with agents of the quartermaster, commissary, and niter bureaus."

The above sentence was taken from page 85 of the book, Lincolnites and Rebels: A Divided Town in the American Civil War
By Robert Tracy McKenzie.

Source: https://books.google.com/books/about/Lincolnites_and_Rebels.html?id=rH08DwAAQBAJ