The (Madison) Wisconsin State Journal 1885: January 27 noted that the venue was the M.E. Church and the other reviews referred to it as the Methodist Church. Checking the city directory for 1884 I found listed the First Methodist Episcopal Church at the northwest corner of Wisconsin Ave. and E Dayton. This seems to fit the bill for the Twain Cable shows on January 21 and 27 of 1885.
43° 4' 34" N , 89° 23' 10" W