Sorry I can't help, but thought would say :welcome: to the forum!!
Nola x
Try Eros London for details about clubs. Few adult clubs can afford to book in the West End, so they are further out around London with some operating during the week. Vauxhall is a good location for clubbing. Other sites are in the City and Kings Cross. They change locations quite often. Many clubs operate by membership subscriptions. So an added expense before you start. Try some of the fetish shops along Old Compton Street for more details of events. You need to find out and plan something, it won't just appear in front of you.
Put simply,
There isn't one.
You would need to get the tube and goto either East London or Wandsworth, there is nothing near Theatre Land.