Probably depends where they are and the nature of their employment contract. Some places have it as legal after all, and they may be employees after a fashion (most tend to be private contractors if various documentaries are anything to go by). Some other places also place restrictions on the nature of their place of business (though I am less familiar with what goes there, it tending to be things like if there are more than two people operating out of an establishment then it is a brothel and treated accordingly, just two or even just one and it is a different matter).
Similarly one also wonders at the job cover titles like private dancer, escort or insurance adjuster. If they are nominally employed as such and thus unable to engage in that activity it would be covered.
If they are nominally unemployed then that would presumably be covered under whatever goes for that.
Going further even if it is illegal then I would wonder at that precedent set by the drug dealer some years ago that saw him able to declare losses thanks to government seizure of assets.