The Theatre door is located in The Grand Hall. The door is the one where the ratboy's face is pointing.
To enter you will need a Theatre key ( you can get it in the Inside or by killing mobs ) the first thing you will notice is that it is full of empty seats and also that there is a stage where The Cricket will spawn.
At the right side of the stage there is a door that you can go through to get to the Back Area in that place you can find the green button and the entrance to the supermarket.