Ok, so I'm definitely missing details here, but mostly I'm just trying to inspire discussion, so here is this theory.
We know that the Set is trying to get something into Elendel, most likely by hiding it within some harmless looking goods or disguising it as such. I have seen it pointed out on one of the other forums that it is likely a bomb. This is for multiple reasons, such as the Faceless Immortal at the end of BOM saying that they are moving up the timetable to remove all life on this sphere. Bombs are quite effective at removing life, and Elendel is one of the most if not the most defensible, advanced population center, that also is where Wax and his cohorts live, so it makes sense to eliminate it first. The explosion at the end of BOM has an unknown source (I think) implying that another explosive will be making its debut in TLM.
Wax points out that it is odd for the Set to be trying to see which shipments into Elendel get inspected. Many of my fellow humans on the shard have pointed out, as I did earlier, that this means that they are trying to sneak something in. I would like to expand upon this. The Set isn't necessarily too worried specifically that their weapon of mass destruction will be discovered. Since we assume that a new explosive will appear in this book, and we see Harmonium and Trellium interacting at the end of chapter 13, I suggest that this will make a new kind of explosion. (I know other people have theorized this as well) This would make sense with the Set trying to smuggle things into Elendel. What comes in might not be regulated, but what if you are bringing large amounts of rare God Metals into the city? Regardless of restrictions, people are bound to notice, and doubtless this is something that Wax or another one of our characters is keeping an eye on. However, if you could sneak the God Metals into the city hiding them as or in shipments of other harmless things, then nobody would be the wiser.
Basically, my proposal is that the Set and agents of Trell are planning to or are already bringing Harmonium and Trellium into Elendel, pretending that they are harmless shipments of things like lumber. Then, they use these resources to create a giant explosive bomb, one that could wipe out at least the city of Elendel, or as the red-eyed Faceless Immortal said, "Remove all life on this sphere."
The number one problem that I see with this is that God Metals are rare, and that even more than Trellium, it would be very difficult for the Set to get their hands on Harmonium. However, we know that the Southerners have quite a bit, so I guess it wouldn't be out of the question for Trell to have a lot as well, and it even seems likely that agents of Trell are working within the Southern Continent. Also, as a final thought, we know that Harmonium is very, very potent and explosive. If combining it with another God Metal creates another explosive, I am willing to assume that the new creation will be ridiculously powerful, so you might not need that much Trellium/Harmonium to create a strong explosion. It feels reasonable to say that the amounts of God Metals needed here would be a lot, but not an unobtainable amount, especially if agents of Trell are hiding and operating within the Southern Continent.
Anway, thoughts?