It seems like an obvious idea, but I've never seen it done. A brothel owned by Petyr Baelish in King's Landing, with all sorts of interesting patrons, set early in the first book just after the arrival of Ned Stark as the new Hand of the King. Roz will be on her way soon, but not for a while yet.
We'll be needing a madame, a number of working girls, at least one bouncer, and other staff as well as patrons. While this is a high-class establishment, it's not so extravagant that only the truly wealthy can afford to visit. Named character parts will be avaolable, but you'll have to convince me you're up to the task by starting out with an original character.
Lord Petyr has his little finger in many plots, and several will bear on his most lucrative brothel. He will stay there himself at times, and he likes to make sure that his girls are providing the highest standard of service. When he has time, he likes to interview new applicants. And Littlefinger doesn't know it yet, but he's not the only one whose plans touch on this brothel.
All this is freeform; if it comes to violence, we will work out the results. Death should be safe, legal, and rare. But since this is George R. R. Martin's world, be careful or you could very well get something very important chopped off! This will tend NOT to happen to the pretty whores, though; other things will be more apt to happen to them, where you can't see the scars so easily.