I can't check right now, but it seems like on the One documentary on the Best of 1990-2000 DVD, they say it's in Atlanta. I could very well be wrong though.
It was a place called Nell's...a very trendy and chic club in NYC on 14th St. and 8th Ave. back in the late 80s/early 90s. No longer exists, it was around for quite awhile but it closed several years back.