Casino that houses the Penn & Teller Theater (3)

I believe the answer is:

rio

(Other definitions for rio that I've seen before include "Manchester United player in South American city, in short?" , "Flying Down to -, Astaire, Rogers film" , "Port, -- de Janeiro" , "A Mexican river, may be grande" , "Erstwhile home of Biggs" .)

I've seen this clue in The New York Times.

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