I’ll give Alexi one thing—he is a competent and confident driver, and I feel strangely safe with his chauffeuring abilities.

Twenty minutes later, he silently cuts us through another dim alley, and we end up down a very dark, small back street with washing lines strung between the buildings overhead. The sun flashes through the gaps as we move, and I wonder where we are. I know it’s Little Italy, where the club is, but I cannot get my bearings as to exactly where. It’s a bit ...