I have to agree that this does not sound like a very good idea.
If you *really* only want to go out and hear jazz and you don't want to go alone (why not?) why not ask some female friends to go? This is where setting boundaries is important... tell your friends you want to go out, hear some music and have a good time and you do not want to discuss your situation at all.
What bothers me about this entire scenario is you are unable to make yourself feel good on your own and you went right to another person instead of finding a way to do that on your own. You said in the very first line in your post "to make me feel good". Nobody can do that but you!
You are assuming an awful lot about this man, his R status (married or not) and how open he is being.
