I've got a bootleg of the Nude Tour, 1990, one released legally in Australia through the loophole a couple years back, and I don't know where it was recorded - the liner notes don't say anything, and Prince never says anything location-specific. Does anyone know? The album's titled Nothing Compares 2 U, Vol. 3. This is the playlist:

Take Me With U
Bambi
Alphabet St.
Kiss/James Bond Theme
Purple Rain
When Doves Cry
Do Me, Baby
The Future
1999
Housequake
What Have U Done 4 Me Lately?
Baby I'm A Star
RESPECT

Tokyo, my friend. 29th July 1990 being the date. It was a TV special.