The Musée Grévin is a waxwork museum in Paris along the lines of Madame Tussaud's in London. The Chat Noir was a famous nineteenth century cabaret in Montmartre, immortalised in Theophile Steinlein's poster.
" as if it had been the Massacre of the Innocents "
The Massacre of the Innocents was painted twice by the Flemish artist Peter Paul Rubens (1577-1640), once in c.1611-12 and once in 1636-38. The earlier version was lost in the eighteenth century and only rediscovered in 2001; therefore Swann is probably thinking of the later one.
" in the reredos of San Zeno and the frescoes of the Eremitani "
Benvenuto Cellini (1500-1571) was an Italian artist, known primarily as a goldsmith. He worked in France for Francis I, and wrote an autobiography which is considered a classic, and is still in print today.