I recall kids (with more than basic cable) claiming this. Madonna was quite the topic at the time. Did you know she said she enjoys sex? I think we were under the impression that this was typically an act one endured to procreate, and deriving any pleasure was the height of perversion.
Any idea what kids were going on about re: the show? It could have just been a raunchy music video. She certainly had a naughty photo book around then but I’m pretty sure Sex was in 1992, and my memories should be from earlier. But time and I don’t always see eye to eye.
Otherwise maybe they were confusing the book with a concert.
Googling “Madonna sex show” brings up this thread.
As far as things associated with sex, could be almost anything Madonna did during that era. She released Truth or Dare in 1991. Could it be the often-banned music video for “Erotica”? Because they wouldn’t play it on MTV but I’ve seen it too.
From reports of that time (early 90s), she also had very risky live shows, sometimes simulating sex with dancers while wearing skimpy clothes. I never was much into Madonna, but she had a very eroticized image at the time, mostly self-inflicted.