I have been to Key West at least two times per year for the past seven, and I have never heard of this place. To find good dance music, it was either Rick's, rock and hip-hop, or Bourbon Street Pub, techno, or era music.
The Blue Room, formally the Wax Room, is the well-kept secret of Key West Dance Nightlife. While it opens at 9pm, you will not find anyone there until later. After 12am, the place rocks. It is a total techno bar. Awesome sound system for Key West, and great bartenders. The girls are hot, and for the girls, there are also hot guys. Had an awesome time until 4am. After that, who know where the party is.