S0E4 : Bordello of Blood

Private eye Rafe Guttman (Dennis Miller) is hired by repressed, born-again Katherine (Erika Eleniak) to find her missing bad-boy brother. The trail leads him to a whorehouse run by a thousand-year-old vampire (Angie Everhart) and secretly backed by Katherine's boss, televangelist Jimmy Current (Chris Sarandon).