I dunno, that alleyway seems like a reasonable thing to miss and the game doesn't seem to do anything to direct you there. I feel like they were doing their due diligence in double checking the area maps and asking around [basically the only two gameplay mechanics they've encountered outside QTEs] except the location isn't on the map and the NPC dialogue doesn't have anything for asking about bar locations and just stays at asking about sailors [Bar Linda is two buildings down from Heartbeats but the lady out front only says 'no sailors here' but she has no dialogue for 'but they tend to like that place behind the slot house']. The district is also littered with several tiny dead-end alleys with nothing to offer. At some point Vinny started checking specifically for that but none of them even had the potential to hide anything which quickly discouraged the guys from checking them too thoughtfully. Additionally, there were several locations on the map that had lit up signs and other general lighting but were otherwise non-interactable so it's not as if that was a reliable clue, especially because the alley lighting isn't that prominent and basically looks like it could just be ambient light as a result of one of the blindingly light businesses nearby.
The district isn't "littered with dead-end alleyways"; the only dead end alleyway is the one they should be going down. They just keep looking for a bar
outside of the bar district for some bizarre reason. They were overthinking it.
Although they were on the right track looking at the map and realising it wasn't listed on there by name, but they looked directly at the alleyway and just ignored it. It's
not small on the map, either. They were too engaged looking at the words rather than the shape of the map itself.
I booted up the game for myself to take a look at the lighting, and the alley is pretty easily signposted with the light. It's not ambient from another sign, and pretty directly points players down the stairs by
drawing their eyes to
the side of the screen with the light. It's subtle, but it's not obtuse.
Ultimately, it's moot point right now because the run is pre-recorded and already complete, so we know they find the bar
eventually. I just think it's dumb to blame them going in circles completely on the game because it doesn't hold their hand the way modern games do.
At least if they do Shenmue II we won't have this problem. Adding maps to the HUD and being able to follow NPCs if you ask for directions really helps getting around the much larger map until you learn it yourself.