The XXX door is next to the Ghost Note, the bar in Act I that Didi sneaks into.
If you missed the trophy first time around, boot up Chapter: Of All The Gin Joints (Act I). Walk to the Ghost Note, a cutscene will likely play which you can skip.
Walk a little bit further and you see a bar called "Dirty", with a neon sign with red stripes above it. The XXX door is on the right, directly below the '24h' sign. Trophy will unlock when you try to walk into it.