According to the accepted mythology the area shown in this 2015 image of the corner of Sheridan and Gaylord (Grand and Santa Fe (Front) in years gone by) was the site of the first brothel in Oklahoma City by a blonde, buxom woman of 24 fresh from the work in Leadville named Anne Wynn. She came to be known as 'Big Anne'. The source of this claim is largely one writer who wrote decades later and his information is sometimes a little incorrect.
The story goes that she stepped off one of the trains at just before 3 p.m. (indicating it may have been one from the south and Purcell) and set up her tent in this location. Her neighbors were Joseph "Kid" Bannister, a dapper dressed gambler from Texas who proudly claimed he had started the first bank - a faro bank. Her other neighbor was a Kansan who had come to the run with a wagon filled with alcohol, despite the awareness that it was considered federal jurisdiction and the law said such sales were illegal due to the classification of the lands as Indian. John Burgess would keep his lot as ground zero between forays here and there selling liquid treasure. He would later run The Two Johns Saloon for many years.
This street section was the east side of the area called, "Hell's Half Acre". That space was bordered by Grand Avenue on the North (now Sheridan), Front/Santa Fe on the East (Now Santa Fe/E.K. Gaylord), California on the South (which would, if it was still there, bisect the current convention center). and Broadway on the West.
On the June 1890 Territorial Census, the suspected Madam, Big Anne Wynn, was listed residing in the 200 block of California Street with two other single women and three male 'boarders.' Directories and Census takers often skipped entire blocks or sections of blocks to avoid recording the "inmates" of obvious houses of 'ill repute.' This makes research...challenging.