One of the films playing in the theatre is called "Men in Beige." This is an homage to director Barry Sonnenfeld's previous work, the Men in Black (1997) series of films. Patrick Warburton (Lemony Snicket) also had a part in Men in Black II (2002).
Count Olaf (as Stephano) breaks the fourth wall implying that extended TV series are better than movies and you can watch them from your own home. This is a nod to the series being an extended episode series on Netflix.
Olaf refers to the cinema as a "Godforsaken Nickelodeon." A Series of Unfortunate Events (2004) was produced by Nickelodeon. The term nickelodeon is defined as an early motion-picture theater where a film or a variety show could be seen, usually for the admission price of a nickel.
Stefano (Olaf's disguise) and The Prospero (the ship he boards) are references to The Tempest by William Shakespeare.
Stefano, the name Count Olaf takes on in The Reptile Room is an anagram of 'not safe.'