Granted, there's that line about the woman wailing for her demon lover, still, I doubt this is what Coleridge had in mind.
If you're curious, here's a link that will take you there, though you'll have to jump through a few hoops: Xanadu-Manchester. Note, though, according to this and that on the web, this club may no longer be open and it wasn't much anyway. And then there's Xanadu of Greenville, SC (NSFW). I suppose if you look around you may find out something about it as well.
