If you're going to an illegal 'massage parlor', you're doing the massage industry a disfavor, and you could contract an STD if the person from whom you are receiving a massage, or the previous person on the table, has an STD, and you have an open wound somewhere on your body. It could be as small as a papercut, and you'd still be infected if you're visiting unsanitary places that are only using massage as a guise for other activity.