Not all theatres in the West End are along Shaftesbury Avenue, of course. An example of one that isn't is this one; the Theatre Royal. Originally built in 1720 it is according to some reports the 3rd oldest London playhouse still in use. Similarly, it is reported that in 1873 it was the site of the first scheduled matinee performance.

Not the exact same building, obviously; however for practical purposes the appearance of the theatre has been more or less the same since around 1820.