The Theatre is located to the North of Pearl's Shrine.
Once you visited the Theatre you will have a key that is used to access the areas outlined below.

One of the Reels is located behind the locked area just West in the Weeping Wastes.

One of the Reels is located behind the locked area in the middle-ish of the Neon Crest.

One of the Reels is located behind the locked area to the North East of Sculptor's Peak.

All the way to the East side/Right of the map is an area called The Back.
You will first need to explore the area to the West/Left of the circled area in the picture.
Then after exploring the rest to get to the warp point, head South/Down and to the East/Right.
There is a platform you need to use that will move West/Left.
Don't bother trying to fight the enemies, just jump/dodge the projectiles until the platform stops.
Head South West to unlock the key.
When you first entered "The Back" you were warned about not opening the locked room. That is where the key goes.

SPOILER:
The real Roy is locked in a cage. When you go to release him there will be a boss fight with the Imposter.