The Connor Palace, also known as the Palace Theatre and historically as the RKO Palace, is a theater located at 1615 Euclid Avenue in Downtown Cleveland, Ohio, part of Playhouse Square. Construction on Connor Palace began in the early 1920s and was the last of the four main theaters to be built in Cleveland's historic Playhouse Square. It was also the …The Connor Palace, also known as the Palace Theatre and historically as the RKO Palace, is a theater located at 1615 Euclid Avenue in Downtown Cleveland, Ohio, part of Playhouse Square. Construction on Connor Palace began in the early 1920s and was the last of the four main theaters to be built in Cleveland's historic Playhouse Square. It was also the most expensive at an estimated $2 to 3.5 million. Edward F. Albee built it along with the three other main theaters, the Allen Theatre, Ohio Theatre (renamed the Mimi Ohio Theatre, and State Theater. Albee was a vaudeville impresario who founded the Keith-Albee Orpheum vaudeville chain and wanted to make Playhouse Square the flagship of his company.