A good hearted joke at the heckler's expense sometime allows the heckler a way out and warns him the next joke may not be so kind ... then pointed insutling humor at the heckler's expense may work ... but as Kendall says, I think it's the club owner's responsibility to keep the peace. I've offered to handle a misbehaving audience member on occasion and always found the management would much prefer to do it themselves!

In this case it sounds like you may have to get more of the session folks involved. Get many to voice their opinion to the lady. She'll back down or incurr the wrath of the room.