Consulting The Streets of Ankh-Morpork, we see a walled and landscaped house at this point which is large enough to be encompassed on a third side by Gleam Street. According to the numbered key (location no.85), this is called Madam's Gardens.
Why Lady de Meserole should want to live in the fringes of the Shades is a mystery. Perhaps here, she is near to the beating proletarian heart of the city, and is uniquely placed to warn her nephew if it ever misses a beat? It would also be a discreet and deniable place for a network of informers and agents to deposit reports, in exchange for hard cash - such people would be noticed at the Palace.
This is a location in Night Watch, when "John Keel" is knocked unconscious, brought here by night, and interogated by Madam. On being allowed to leave, he knows instantly where he is by the feel of the street under his feet..