From WordNet (r) 2.0 (August 2003) [wn]:
bagnio
n 1: a building where prostitutes are available [syn:
whorehouse, brothel, bordello, {house of
prostitution}, house of ill repute, bawdyhouse,
cathouse, sporting house]
2: a building containing public baths [syn: bathhouse]
From The Collaborative International Dictionary of English v.0.48 [gcide]:
Bagnio \Bagn"io\, n. [It. bagno, fr. L. balneum. Cf. Bain.]
1. A house for bathing, sweating, etc.; -- also, in Turkey, a
prison for slaves. [Obs.]
[1913 Webster]
2. A brothel; a stew; a house of prostitution.
[1913 Webster]