I am interested in this rp. Personally I am fine with it being a club, or a sex club. Though if it goes into a sex club I am more interested as too what kind of sex club it will be.
With most sex clubs it's about how well the sex is hidden. Are we talking about a club where a man can buy a dancer too take home, or are there full on private rooms in the club. I think the former is a little more dangerous, as the sex happens in the shadows or back ally ways for plausible deniability that could make it a little more fun too as it's illegal, and anything could happen in an illegal club.
The latter with the private rooms provides more class. People can escape the noise of the dance floor and take their willing (or unwilling) lady up to a room with noise proof walls. Have a drink in a lounge and have all kind of perversions. rooms with themes could be a thing. It would certainly make it easier on the dancers.