We do not see any dedicated "female brothel" (a brothel that would be frequented by women and staffed by male whores).
However, we do see in that same encounter when Oberyn vists the brothel that "everything in Littlefinger's establishment has a price".
Littlefinger himself also implies that he will serve any fetish as long as the gold is right. Varys even suggests he has even provided fresh cadavers for a high paying customer. This scene from The Wolf and the Lion (S1E5)
[Petyr] You look a bit lonely today. You should pay a visit to my brothel this evening. First boy is on the house.
[Varys] I think you are mistaking business with pleasure.
[Petyr] Am I? All those little birds that whisper in your ear, such pretty little things. Trust me, we accommodate all inclinations.
[Varys] Oh, I'm sure. Lord Redwyne like his boys very young, I hear.
[Petyr] I'm a purveyor of beauty and discretion, both equally important.
[Varys] But, though I suppose beauty is a subjective quality, no? Is true that Ser Marlon of Tumblestone prefers amputees?
[Petyr] All desires are valid to a man with a full purse.
[Varys] And I heard the most awful rumor of a certain lord with taste for fresh cadavers, must be enormously difficult to accommodate that inclination. The logistics alone, to find beautiful corpses before they rot.
[Petyr] Strictly speaking, such a thing would not be in accordance with the King's Laws.
[Varys] Strictly speaking!
Another example would be the young girls Meryn Trant requests while in Braavos.
So while it may not be a common occurrence, find the right smut peddler and have enough gold, you can have whatever you like! I am sure there are women with enough gold and desire to seek Littlefinger's discretion...