The Conversion Booklet for Conan suggests Sabatea as the location (or possibly Shadizar or another Zamorian city if that fits better with your campaign).
Yes, I've read your conversion notes.
As my players are traveling eastward on the caravan road from Zamboula, I want to place the adventure in one of the eastern Shemite city states.
From Vincent's descriptions in the Shem sourcebook, Sabatea seemed to me an unlikely place to me for the adventure. The city is supposed to be the seat of the Black Ring in Shem, the coven of the Golden Peacock seem quite powerful too and the city is renowned for its torturers. I thought that leaves very little room for the daughters of Rahma activities. I bet the Black Ring Sorcerers and the Priests of the Golden Peacock wouldn't see their activities with a kind eye.
That's why I toyed with the idea of making of Yaatana a new unamed city state, located somewhere in the Shushan/Sabatea area. I know this is non canonical, but many of the Shemite city states mentioned in the sourcebook already come from pastiches. This option allows to leave the city more or less as it is shown in the adventure.
Shushan would be another possible choice. I just love the sentence "where women dress in barbaric splendor". I bet bet Shusahnite women would make wonderful daughters of Rahma!
I talk to planets, baby.