The assassin can be seen in a small room below the steam room. He can be seen in this room by using the tclconsole command for a closer look. He can also be found on the Xbox by going through a wall which is to your right after you enter the room, after you cross the corner go straight and you will end up a shady area. You will see a room for a short while because you fall and end back up in the place you started. It is possible to get there too, by somehow making a leap of faith. If you talk to the assassin you will only "look" at him for a split second then going back to normal. If you kill him it will also kill Chauncey.