The location is the topic and title of episode three of the series. After the Silver Shroud and Mistress of Mystery discovered Boston's mayor dead in Scollay Square, a run-in with the mayor's associate Fat Fahey resulted in the Shroud receiving a gunshot wound. The Mistress brought him to this hideout in order to tend to his injury. The Shroud comments that it's been so long, the Mistress of Mystery following with, "Indeed it has, old friend. Old... love. Indeed it has."
Once arrived, the Mistress of Mystery removes the bullet and the Silver shroud comments, "Jasmine, chamomile, pain... ecstasy. This can only be... the Parlor of Mysteries." The two speak briefly about the recent events and their next moves, but are interrupted by the Boston police arriving in an attempt to arrest the two for the mayor's murder. They evade capture and leave the parlor.
Shortly after, the duo infiltrate the lair of Fahey only to find out that they were lead there as a distraction, allowing for Fahey's boss to likewise break into the parlor to steal evidence recovered from the mayor crime scene. The Mistress of Mystery is enraged, drawing the Blade of Bastet and striking down Fahey for having "defiled [her] sacred sanctum."
The Parlor of Mysteries is mentioned in Fallout 4.