I know at one point, Lincoln, NE used to have a strip club called the Royal Grove which used to double as a live music venue with nationally touring acts, but I don't think the two activities happened concurrently. I believe they ended up getting new owners and gave up on the strip club part of it and that this was some time ago. I was only there once (my very first trip to Lincoln, when I was still new in Omaha), so I don't know for sure how it all went about, but I do know they had many live bands, and they would advertise on Omaha radio.
Other than that, I once witnessed a waitress singing, and singing quite well, at the High Heel Saloon in Somonauk, IL once. That remains the only live music I ever saw in a strip club.