This question has come up in this forum before. No, live sex shows are illegal in Texas. What you're describing would probably be the offense of obscenity under Texas law. Texas Penal Code section 43.23(c)(2) states: "A person commits an offense if, knowing its content and character, he ... produces, presents, or directs an obscene performance or participates in a portion thereof that is obscene or that contributes to its obscenity."
See
Texas Penal Code § 43.23.
The State doesn't have to prove a fee was charged to prove a violation of the statute. The offense is a Class A misdemeanor, punishable by up to one year in county jail, a $4,000 fine, or both.
What you're proposing may also violate federal obscenity laws. See:
http://www.avvo.com/legal-answers/in...--1861978.html.