Island of the Dead ; nods to painting
Even this "New York Movie" looks like the Giant's theater? I'm pretty sure they did a pretty obvious Nighthawks reference but I can't remember if it was in this episode or if it was the corner of the RR diner.
The Giant's theater definitely reminds od Mulholland Drive's Club Silencio.
It was shot in the same real life theatre as Club Silencio.