Well, a book called The Dirt on Clean: An Unsanitized History mentions this, as does this article about medieval bathing, though I couldn't find any actual pictures of a bakery next to a bath house or ruins of a bakery among the ruins of a Roman bath.

It makes perfect sense, though; the bakery wants to sell their goods and doesn't want to burn. The bath house has a constant supply of customers and water, readily available. The bath house wants their customers to be happy and comfortable, and the bakery has delicious scents and flavors to tempt and tantalize. Similarly, the bath house needs a prodigious amount of heat to warm all that water, so the excess heat from the bakery's ovens is welcome.

It would be a sensible, symbiotic relationship.