"The theatre or the rooms, where he was most likely to be, were not fashionable enough for the Elliots, whose evening amusements were solely in the elegant stupidity of private parties"
Royal Theatre
Creative Commons Attribution Share AlikeRoyal Theatre - Credit: Christophe Finot

The theatre is most likely the Theatre Royal and the rooms referred to here are the Assembly rooms, of which the octagon room (below) is one. The former was for plays and theatricals, the latter for balls, parties, and social elbow-rubbing.


Fashion Museum and Assembly Rooms
Creative Commons Attribution Share AlikeFashion Museum and Assembly Rooms - Credit: Mark Anderson

 The vanity and social ambition of Miss Elliot and Sir Walter are again revealed in their disdain of the forms of entertainment which are good enough for gentlemen like Captain Wentworth and the Crofts.

Both are still lively venues today. For more about the Theatre Royal, try their official site