I am bit surprised Millwall going for a 34k stadium - their fanbase is much smaller than West Ham, however S/E London has only three fully professional teams - Charlton, Palace and Millwall, with Bromley and Sutton in the National League Premier. There are scattered Millwall fans all over SE London, but they seem to be more concentrated in Bermondsey, Rotherhithe, New Cross, Peckham, Deptford amongst the traditional working class white communities. Chelsea have a lot of support south of the River as Lambeth was a big fan base for them say before 1939, many families working class families from that are of London were moved when public housing was expanded.
Like the Boro - Milllwall is in an unfashionable area for London where immigrants had moved from say Scotland in their case had moved for work, like Irish to Middlesbrough pre 1900. Millwall has gentrified a bit more than Middlesbrough.
I would have thought 25k capacity would fulfil them as a Championship Club. maybe they think they can realistically be mid table Premier League.