Joe Finocchio, the creator of the club, had the idea of a nightclub with female impersonators in costumes when a patron jokingly went on the stage of his club and did a routine that the crowd enjoyed. The club was not advertised as a gay club; it was advertised as a place for entertainment and fun. Both gay and straight performers worked there. The acts included varying ethnic-inspired performances such as geisha-style performances, which may have helped encourage tourists and contributed to the diverse, often racially diverse crowds, which was unusual during this time of segregation. In the days before gay liberation, female impersonator clubs provided semi-public social spaces for sexual minorities to congregate.
Finocchio's was "off limits" during World War II, not due to the entertainment, but rather for selling liquor to the military outside the authorized hours of sales. On December 31, 1943 the ban was lifted after Joe Finocchio and other bar owners signed an agreement to limit liquor sales to military personnel between 5 pm and midnight.
Finocchio's was a huge favorite with tourists from the 1930s to the early 1990s. Joe Finocchio died in January 1986. Eve Finocchio, Joe's widow, decided to close the club on November 27, 1999 because of a significant increase in the monthly rent and dwindling audience attendance.
A 14-page program, "Finocchio's: America's Most Unusual Nightclub", was published by Zevin-Present circa 1947.