The Academy of Music, also known as American Academy of Music, is a concert hall and opera house located at 240 S. Broad Street between Locust and Manning Streets in the Avenue of the Arts area of Center City, Philadelphia It was built in 1855-57 and is the oldest opera house in the United States that is still used for its original purpose. Known as the "Grand Old Lady of Locust Street," the venue is the home of the Pennsylvania Ballet and the Opera Company of Philadelphia.

The Academy of Music was a New York City opera house, located at East 14th Street and Irving Place in Manhattan. The 4,000-seat hall opened on October 2, 1854. The New York Times review declared it to be an acoustical "triumph", but "In every other aspect ... a decided failure," complaining about the architecture, interior design and the closeness of the seating; although a follow-up several days later relented a bit, saying that the theater "looked more cheerful, and in every way more effective" than it had on opening night.

Mark Twain and George W. Cable were indeed in Saratoga Springs on February 20, 1885. His lecture was part of a series sponsored by the Saratoga Athenaeum, a private subscription library that was founded in 1885. I believe this was the first lecture and have not been able to determine if there were others. 

Queen's Hall. First hall in Montreal expressly constructed for concert use. It was built in 1880 on the northwest corner of Ste-Catherine and Victoria streets. The auditorium seated 1159 and was equipped with an organ. It served as the home of the Montreal Philharmonic Society (1880-9) and the Mendelssohn Choir of Montreal (1881-90) and was the scene of Emma Albani's three recitals on her return to Canada in March 1883.

The Grand Opera House is referenced as built in 1874 on Sparks St, but also list on Albert Street at O'Connor, built by William Hodgson. http://www.dictionaryofarchitectsincanada.org/architects/view/262 

Brockville Arts Centre
Address: 235 King St. West,
Brockville, Ontario K6V 3S2, Canada

There was another opera hall at 1 King St as well, the site of city hall - Victoria Hall

February 11, 1885: Sam and Cable gave a reading sponsored by the Union Library Association, at the First Congregational Church, Oberlin, Ohio. Reviews were mixed [Cardwell 58].  Clemens included: “Tragic Tale of the Fishwife,” “A Trying Situation,” “A Ghost Story,” and “Incorporated Company of Mean Men” [MTPO]. (Fears, "Mark Twain Day By Day). 

http://en.wikipedia.org/wiki/Congregational_Church_of_Christ 

Original Town Hall and Opera House burned down February 1934 

197 S High St, Columbus OH

Became known as the Metropolitan Opera House
Opened: 1862
Closed: January 26, 1892

The November 30, 1874, Dispatch reported that the Metropolitan Opera House was the first building in Columbus with electric ignited, gas jet lighting. The Metropolitan Opera House, also called The Cotton Block and Comstock's Opera House was built in 1862 and burned 1/26/1892.
http://www.cinematour.com/tour/us/26352.html

February 9, 1885