i would think the bars that BGIP mentions will be in full swing on a Sat night, especially if there's a Kylie show. if you're looking for a club and don't have any luck on the internet, something tells me there may be a local gay or two at the show that you could ask as well.
My friend and I are going to see her later in June in Riga, Latvia of all places. Just sort of worked out that we'd be there at the same time. Should be fun. Not sure how developed the Riga bar scene is (i'm assuming not very) but if we're at the Kylie show, i'll assume we've found gay headquarters for the night.
We also have a night in FRA on our return. Would love to here how your trip turns out.