Season 2, episode 2: ''Ladies of the Evening''
The girls get swept up in a prostitution bust. Yes, really.

Rose: Downtown? He means jail!
Dorothy: Oh really Rose, I thought he meant Neiman Marcus.
Rose: I've never been in jail. I won't make it. They always prey on the weak and innocent. The others will taunt me for trying to excel at my work in the laundry. I'll fall in with a bad crowd, whose leader looks like Ethel Merman. And I'll be forced to engineer a daring prison break using my laundry cart. From that time on, I won't know a moment's peace. I'll scar my fingerprints with battery acid and I'll run from town to town, taking jobs that people have who got bad grades in school. And then one day, they'll find me, holed up in a little shack in the Louisiana bayou. And a sheriff named Bull will call my name out over a megaphone and when I make a run for it he'll riddle my body with bullets! Oh please don't let them take me downtown! I want to live! I want to live!
Dorothy: You're not very good in a crisis are you Rose?

Watch it here