Erotic massage studios in Kharkiv (or Kharkov as the Russian speaking people will call it) took over when the era over bordellos came to an end. Little bird told me most of them provide full service behind the curtains. Ego Studio (https://www.relax-kharkov.com/) at Chervonoshkil'na embankment 12 is a popular one. They changed their name a couple of times. So I suspect they’re up to something interesting and not completely legal. They charge €300 for their top menu item. So it better be interesting and not completely legal. Sunrise (https://sunriseclub.org/) at Yury Zojfera Street 3 is a good spot with some light BDSM opportunities. There’s more to pick from, but those two are my favourites.
Of course you can also try to hook up with an escort girl who has eroticheskogo massazha (erotic massage) skills in her basket. Tinder and the Russian dating site Mamba.ru (https://www.mamba.ru/), where many freelance escorts post their profile, could offer good opportunities to score such a lady.