Depending on where it is. Around here it is covered by city ordinances dealing with the use of real estate.

I'll lay odds that no matter where you are, there is some statute broad enough to cover it.

And then again, when has LE ever needed a specific law to bust someone with?

Bottom line, do your research and screen whomever it is you plan to see.

(still not a lawyer)

While the ACT of watching another couple who consent to you watching is most likely not illegal, you are still PAYING someone (in this case TWO someones) to engage in sex for money.  While you are a detatched third party, you are still paying them to have sex for your gratification.  
This is like all other acts of prostitution.  Its not illegal to have sex of any variety with a willing woman, the crime was the offer of sex for money.  
LE WILL set up non-standard stings for prostitution arrests.  In Vegas, Metro Vice has sent a male/female pair of officers out posing as a kinky couple looking for a hooker for a threesome.  This was very successful as the 'couple' disarmed the working girl's normal suspicions, esp when the woman took over and talked 'girl to girl.'
Be careful always
MVR