Gladys Bentley performed in around the Harlem Renaissance years was the Ubangi Club that was at 131st Street and 7th Avenue. There are not many images that we have seen of the shows that reportedly featured a cast of 40 (with some cross-dressing involved) but the above postcard of the band performing at the club has lot of the musicians in compromising positions. Another famous photo of a notable nearby theater in Central Harlem helps further provide the exact location of the club which appears to have been part of a famous complex. More clues after the jump.
An image of the play Macbeth directed by Orson Welles on opening night shows the Lafayette Theatre with a crowd out front and the Ubangi Club sign can clearly be seen in the background. The famous theater has been altered beyond recognition in modern times but the Ubangi Club building is still intact today: LINK. Connie's Inn would also have been housed right next door so this entire complex must have been the place to visit in the late 20s and early 30s. By 1943, Ubangi moved to midtown and the Harlem space apparently was replaced by Rhum Boogie: LINK