The jazz club appears to be located on Jazz Club Street, which is either an extraordinary coincidence or the street was so named because it has a lot of jazz clubs on it. This means that this particular jazz club must have been difficult to find. Maybe that's why Ellie is waiting outside for them. It could however be that this is the only jazz club on Jazz Club Street, and the street was so named so people could find it more easily.
Outside the club Lynne tells George who invited them. George had absolutely no idea why they were going to a jazz club, thus making his joke afterwards very spontaneous and therefore cleverer than we give him credit for. Lynne starts her sentence outside the club but then waits until they have sat down and ordered drinks to tell George why they are actually there. That must have been an extremely awkward 10 minutes of silence. George didn't know who Ellie was before this evening and he hasn't even been introduced to her.
They must also have been late because as soon as they arrive, Ellie's man is playing his saxophone, meaning Ellie has been standing on Jazz Club Street for about half an hour. Then again, she's probably on the guest list and knew what time he would come on stage, so she may have timed it perfectly. George, Lynne and Ellie are all drinking red wine from tumblers. How very Mediterranean of them.