It is a structure under construction in Los Santos. It is based on the JW Marriott and Ritz-Carlton hotel building that is a part of L.A. Live that was under construction from 2007 until early 2010. The building however appears taller and closer to the center of the city's skyline than its real-life counterpart.
The term "Mile High Club" is a slang term applied collectively to individuals who have sex while on board an aircraft in flight. The company building the complex is called STD, which means Sexually Transmitted Disease. All together is probably an easter egg.
In the screenshot the Mile High Club can be seen in what looks to be a more complete stage of construction
- There is also a Mile High Club in the video game Just Cause 2. It consists of a party deck hanging 1000m+ (3280ft) in mid-air under two airships.