Buddy and Cousin go to Haha's cafe to get rum for the fruitcake recipe. The place is threatening because Haha Jones is a scary looking guy, very imposing in size, he is not a happy person as his name suggests, instead, he has a mean look to him.
The cafe is a fish-fry where dancing takes place, but that is not all, there is a lot of violence in the cafe, it is a dangerous place. Buddy and Cousin always go to the cafe to buy the whiskey that they need for the fruitcakes, but usually deal with Mrs. Jones, Haha's wife. This time he answers the door himself.
"As we approach his cafe (a large log cabin festooned inside and out with chains of garish-gay naked light bulbs and standing by the river's muddy edge under the shade of river trees where moss drifts through the branches like gray mist) our steps slow down. Even Queenie stops prancing and sticks close by. People have been murdered in Haha's cafe. Cut to pieces. Hit on the head. There's a case coming up in court next month." (Capote)
Haha's place is threatening because at night it is transformed into a seedy bar where people get drunk and commit violent acts against each other, and according to the neighborhood, it is a place of sin.
So naturally, they are very cautious when they approach the cafe, the thought of going inside makes them uncomfortable.