Sutro Baths, no. 1
© October 25, 1897 - Thomas A. Edison

Sutro Baths
© October 25, 1897 - Thomas A. Edison

Cupid and Psyche
© October 25, 1897 - Thomas A. Edison

Leander Sisters
© October 25, 1897 - Thomas A. Edison

IMDB lists the following films as using the Sutro Baths location, but so far it's not clear the films survived:

The City of San Francisco (1913)
The Fate of Persistent Pete (1915)
 

The Olga Dorfner Vase, clip showing Sutro Baths starts at 2:07
https://youtu.be/6ifgCo6EWlA

"The Lineup" (1958), clip showing Sutro Baths
IMDB: https://www.imdb.com/title/tt0051866/