The star had an eight-year residency at the venue in the 1980s, in his outrageous drag persona Lily Savage, and was on stage during a notorious police raid in 1987.
The operation was ostensibly prompted by concerns over the use of amyl nitrate, otherwise known as poppers, but was widely believed to be part of a wider movement to close gay clubs during the panic over Aids.
More than 20 officers flooded into the venue wearing rubber gloves, prompting O'Grady to joke: "Well, it looks like we’ve got help with the washing up."