“Penny Gaffs” were small, informal theatres which became very popular in English slums from the 1820s:
The pieces which would be presented here can be related to several of the dramatic forms which developed mostly outside the patent theatres, and which could evolve and be critical to degrees forbidden to “straight” plays: these included burletta and assorted dramatic pieces presented at the minor theatres and fairgrounds, pantomime, and the entertainments of strolling players…. A penny gaff was usually a shop adapted as a theatre in which an entertainment comprising sketches, songs, farces and drag acts would be presented when enough people were assembled.
Most of the internet is recycling a small set of eyewitness accounts. Here is a trio of full articles:
It was not a commodious building, nor particularly handsome, the only attempt at embellishmentappearing at the stage end, where for the space of a few feet the plaster wall was covered with ordinary wall paper of a grape vine pattern, and further ornamented by coloured and spangled portraits of Mrs. Douglas Fitzbruce in her celebrated characters of “Cupid” and “Lady Godiva.”