The classical lady with the wardrobe malfunction on the front of Frank Matcham's theatre is Euterpe, 'Giver of Delight', the muse either of music or lyric poetry depending on your preferred myth. She carries an aulos or double flute, the instrument she invented (or not, again depending on your source).
The figure was modelled by John Broad and supplied by Doulton in Lambeth, who supplied another copy for Matcham's Hackney Empire.
Broad modelled Euterpe again for the Apollo pub in Tottenham Court Road, the statue ending up in St George's Gardens.
The rest of the terracotta work on the facade was supplied by the Hathern Station Brick and Terra Cotta Company, including this mischievously satirical face.