Actually, Ballroom, I don't think they specified which "Theatre Gaumont" it was.
During 1963 (and after the release of PPM on 22 March), the band played in "Gaumont" venues in several cities, including on the following dates:
9 April (London)
28 May (Worcester)
19-24 August (Bournemouth)
4 September (Worcester)
5 September (Taunton)
19 November (Wolverhampton)
10 December (Doncaster)
13 December (Southampton)
21 December (Bradford)
They also played 6 concerts in Gaumont theaters between August and November 1964. These can be excluded if we accept the dating in the inscription ("Theatre Gaumont '63") on the album cover to be accurate.