The erotic massage scene in Baku is all right, nothing extraordinary though and surrounded by many rumours. Locals are suspicious of massage parlours in basements of old apartment buildings. The general understanding is that it’s a brothel if you see Arab tourists or businessmen coming in and out. Rusalochka was a famous brothel annex erotic massage salon, but I’m pretty sure it’s been taken down.
Your best options 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.