Film in musical venue (5,4)

I believe the answer is:

annie hall

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'film' is the definition.
(I've seen this before)

'musical venue' is the wordplay.
'musical' becomes 'annie' (Annie is a Broadway musical).
'venue' becomes 'hall' (I can't explain this - if you can you should give a lot more credence to this answer).
'annie'+'hall'='ANNIE HALL'

'in' is the link.

Can you help me to learn more?

(Other definitions for annie hall that I've seen before include "Film" , "Picture" .)

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