Hooray!! I found it after 3 or 4 days searching (real time on and off). It's in the south east corner of the city right up against the wall. It has a balck roof where all other building have thatch. As you approach the doors the building is not named 'Bathhouse' but "Raytehm Trading Company Headquarters'. The real Trading Co HQ is just inside the main gate, of course. But this misnaming had me fooled several times. Inside it is a luxuriating bath house. Beautifully done. There are two doors inside. One you just came through; the locked and needs a key. The other side of the second door is the private room of the person who runs the bath house. This room has a further door which is unlocked and leads to the outside. So making your way round the buiding you can get yourself into this private room even when the inner door needs a key.

To my mind this is a brilliant mod let down by a serious lack of attention to detail. High time this was all put right.

high time it was finished aswell