Shadow of the Torturer chapters five to eight
Severian is sent on an errand to the master curator to pick up picks for a new privileged political prisoner, Thecla. Delivering them himself by request, he forms a connection with her. Thecla is to be treated well ("but not too well") and have her wishes taken care of for the present, and Severian is to continue to see her and converse. She is a high-ranking political prisoner.
Severian is also sent to a brothel, it appears as an attempt to dissuade him from getting too close to Thecla.