Hi, let me see if I can help a little based on my own experiences. I'm part of the Goth/Vampire subculture which, in New Orleans, happens to include mages as well.
I'm from Orlando originally, and knew absolutely no one in New Orleans but the decidedly un-Goth people I moved with. I found the scene there through a series of lucky coincidences. When I went on a scouting trip to look for an apartment and a job, we happened to take a paranormal walking tour. When she heard I was moving there, our tour guide offered me a job in her Voodoo shop in the French Quarter.
As you can imagine, I had a lot of quirky customers. One became my boyfriend, and he introduced me to the NOLA goth scene. It was probably easier for me to be accepted since I am goth, but it was still a fairly lengthy process of introductions, club visits, and slowly building trust.
As the PP mentioned, goth places really aren't hidden or private. They're just not well-advertised, and tend to be located in funky, run-down (seedy) neighborhoods off the beaten path. So depending on her background/comfort zone, your newbie MC would probably be some combination of spooked/skeptical/disdainful on the way TO the club.
Exactly what you'd find inside depends on the type of club/coffeehouse. There's almost always some kind of back room with lower volume and a chilled out atmosphere. For example, one of my favorite NOLA clubs was laid out like this: The main club was downstairs. Front room had the bar, pool tables, some pub tables. Connected to that was an open back room that was mostly dance floor, with some small tables and benches along the walls. Loud, stompy industrial music, had to shout to be heard.
Upstairs was an entirely different vibe. Plush overstuffed couches and chairs. A huge bed in the corner draped with soft fabrics and lots of cushy throw pillows. Another bar with a few bar stools. The music was soft and relaxing, and the bar did as much business in coffee and hot tea as in alcohol.
The thing is, anybody could walk in the front door downstairs. Anybody could technically go upstairs too, but there was no sign or advertising, so you had to be "in the know." That has been my experience at pretty much every goth club I've ever been to, which means that the main club is "mostly" regulars with the occasional tourist/curious local, but the back rooms are exclusively regulars.
What your newbie "sees" is going to have a lot to do with her background and outlook on life. The people tend to be colorful and larger than life. Multicolored hair, very revealing outfits, cross dressing, bondage gear, lots of makeup (on both guys and girls)...how does she feel about those things?
And how does she fit in? Does she look like she belongs? Is she dressed similarly, yet not appear to be copying something she doesn't understand? Is she nervous? Regulars know when someone new comes in, and all eyes will be on her. We often come across as pretentious, but we're really not (well, most of us aren't anyway). It's just that a goth club is sort of "our space" where we're normal and the rest of the world is weird, completely polar opposite from the real world, so we're protective of that. Therefore, we're a little guarded with new people until we get to know them. If she's any variation of shy, intimidated, repulsed, or disdainful, it's going to make for an extremely awkward evening for her...I had a friend who was actually quite goth, but he was really shy, and when I introduced him to the New Orleans scene, it took over a month to convince everyone he wasn't a narc! Once she builds trust though, she'll have friends for life.
From the perspective of your insider, the club is home. Plain and simple. He'll know most of the people there, and they'll be like family to him. Of course, it's a rather dysfunctional family, so there's always in-fighting and cliques and whatnot, but they tend to be short-lived, and in general, everyone's on the same side. There's always a hierarchy/pecking order to some extent, but generally not snobbish or rude. He'll spend a lot of time getting ready to go out at night (hey, corsets don't have speed laces, after all), and it will be late. Really late. Even in Orlando, the goth clubs don't open till at least 10, and nobody shows up till midnight. In towns where bars don't close at 2 am, things start even later.
Make sure your newbie works herself into the scene a bit before she needs to go investigating on her own. If they don't know/trust her, forget it. She won't get a single word out of anyone, no matter how much they like/want to help the locked up MC. They may band together and try to get him out, but they won't work with her unless they trust her. If she has that rapport, though, she's golden.
Whew, that's a lot! Let me know if you have more questions!