The Skyrim branch of the Red Dragon Club (part of the Gweden mode for Oblivion) would have been close to the Blue Palace in Soliitude and have blue uniforms, instead of red. It would probably have been run much like the one in the Imperial City, and served the same purpose. I would imagine it was established at the same time as the other, and have been part of the same network at the time. At this later stage, it is likely no longer an Imperial asset, and is more likely neutral in the Civil War, but not at all pro-Thalmor.
Since much of the exterior of the Blue Palace is unaccounted-for in the interior, I determined that the other wing (not the Pelagius one), was probably available for this purpose. So I added a locked external door, and put a key in Proudspire Manor, so you would find it when you bought the place. You get membership in the club as part of the deal.
I started a Wiki Page for this, but there's not much there as yet.
Bar and bartender
Music and Dancing!
The drinks will come to you.
Dining in the basement
Cooked fresh on the premises
Bedrooms above
Still a WIP, Nothing yet.