Okay, those sound more like titles for xxx films than decent titles. How about....
The Roleplay Bordello
The Roleplay Cathouse
The House of Pleasure
The House of Concubines
The House of the Sultan
The Grindhouse (this, I really like)
The Burlesque Theater (this one, too)
The Strip Club (this one, not so much)
The Dionysian Room
The Bacchanalian Room
Added in:
The House of Desire
The House of Wonders (add customary wink here)
The Cytherean Room