Strange Window

I have walked past this window many times over the years and wondered why it is on a fairly grotty side-street and why it is bricked up and why someone would leave an ugly polystyrene cup on the ledge! Next to it is a bricked up archway, of the type which in past times perhaps a horse and small carriage could pass through. The street is called Parsonage Lane which gives nothing away either! My brief research shows that it could have been connected with the Theatre which was in this area in 1705.