In Downfall parodies, the 'FegelBrothel' is where Fegelein supposedly hides to escape from Hitler's guards, who have been hounding Fegelein for his antics. The brothel is home to many drunken officers and their 'girlfriends', who often play horny games with each other such as nude piggybacking.
In the actual Downfall film, this is the place Fegelein went after his fahnenflucht (desertion) from the bunker.
Fegelein chose this place for his hideout due to his addiction for sex. When he is not seen in the bunker, Fegelein is often having sex in his brothel.
In the film and many parodies, Fegelein is eventually arrested in his room by Peter Högl's death squad, as his Hungarian mistress runs away. He was subsequently taken outside and executed. (Although in the Extended Version, Fegelein is shot much later).