Pussy Cat Club was on the corner of Fenwick Street and Lockhart Road. Originally just occupying 34-38 LockHart Road, the club expanded to take over the corner plot as well (so, occupying 34-40 Lockhart Road) as can be seen from this grab from Felicity. This site is now the Empire Hotel.
We saw the Diamond Steakhouse sign quite recently as well, so you should now know it was on Lockhart Road on the other side of the Fenwick Street junction (in fact, in that link, you can see the arches of the Pussy Cat Club on the right of the third image).
Club Subway was at 53-55 Lockhart Road. I think that Subway occupied the basement of the same premises as Club Highway. It would make sense given the names of each. We last saw Club Highway during my Spearhead posts.
Staying on Fenwick Street for the next image and it's of the An An Topless Club and as you can see next door was Club Mikado. This little stretch of Fenwick Street was also seen on Golgo 13: Assignment Kowloon.
Last but not least the last image is from a place that is a little more recent in Hong Kong history although it now appears to have disappeared for good. The Bottoms Up Club was on Hankow Road for many years (although for some reason in The Man with the Golden Gun it was moved to Hanoi Road - I am still not sure if this was in reality or just for the sake of the film. I suspect the latter). A few years ago the club moved over to Wanchai (coincidentally, to Fenwick Street) but now appears to have completely disappeared. Its original location, in the basement of a building that stood on the corner of Peking and Hankow Roads, was demolished circa 2014 and a new building, Prince Tower now stands in its place. This new building also has a basement and it's currently occupied by a Starbucks.