Yahoo republishes an article in the Daily Telegraph about the Victorian bathhouse. While most of the article is about the fashion for orientalism in architecture and design in the nineteenth century, it does begin with a picture of the Jermyn Street Turkish bath where Saki set ‘The Recessional’.
Turkish baths occur occasionally in Saki’s stories. (I speculated a bit about the reasons here.) The habit of going to such places also provoked the following bit of wisdom about human nature:
Spayley had grasped the fact that people will do things from a sense of duty which they would never attempt as a pleasure. There are thousands of respectable middle-class men who, if you found them unexpectedly in a Turkish bath, would explain in all sincerity that a doctor had ordered them to take Turkish baths; if you told them in return that you went there because you liked it, they would stare in pained wonder at the frivolity of your motive. (‘Filboid Studge’)