The Theater District is a district in Gotham City.
At 11:13 PM on the night that the Wayne's were killed, they and their son Bruce were taking a short cut through an alley way in the Theater District. During that time, Selina Kyle was feeding some cats some milk when she hid in the fire escapes and saw the events transpire. Jim Gordon and Harvey Bullock were among the police officers that arrived at the scene of the murder.
Jim Gordon later took Selina Kyle to the alley in the Theater District where she pointed down to where she threw the wallet of some guy she stole from during her milk heist. While Gordon went down into the sewers and got the wallet, Selina Kyle got away.