What might a cabaret (specifically the Moulin rouge) smell like?

I was kind of thinking the same as jcr--smoke from cigarettes and cigars. Probably also sweat and alcohol.

My guess is if you burn some sort of incense (French Vanilla if you're going with Moulin Rouge), you won't be too terribly far off.

I know this is no help, but I expect it probably smelled like cigar smoke.

Or maybe greasepaint? That is variously described as a plastic-y, lotion-y, or slightly turpentine-like or tree resin-like smell.