I take the song to be about the commercialization of sex through the ostensible lens of transactional sex acts, a/k/a prostitution. The lyrics really aren't clear (what EC song really ever is?) but I think we can say at least that much about it. So much of his canon involves lovers taking pieces out of each other in one way or another, even while they're drawn together, but I guess in this case they're paying for it.
So ... why Luxembourg? Beats me. Never been there, only ever really thought about it while listening to *Trust*.