If you are looking for something kind of like that but real, I saw an article a few months back about Paris. How it is riddled with underground catacombs. Most of them are sealed, and some are open to tourists, but every few months they find an "underground" cinema or impromptou club set up in them. Like I said, this may sound like fiction but it is reality. It actually happens. Mind you, not sure what the theme of the clubs are, I think that the one in the article was like showing old b&w movies and had nothing sinister or sexual about it, but imagine if it did....
Cheers,