The erotic massage scene in Baku is alright, nothing extraordinary though. Locals are suspicious of massage parlors in basements of old apartment buildings. The general understanding is that it’s a brothel if you see Arab “tourists” coming in and out. Rusalochka was a famous brothel/erotic massage parlor, but I’m pretty sure it’s been taken down.
Your best bet are the obscure Chinese spots, or freelance masseuses advertising on Birja (https://birja.com/). Dilara Aliyeva Street and Bulbul Avenue are known for having really good sensual massage studios in Baku. Local newspapers are also a good source of such ads.