Apparently Erotica while on the Blond Ambition tour, fans say you can hear a second of the intro of the old demo version of Thief of Hearts playing on cassette whiles she’s in her dressing room.
She started working on Erotica during the filming of A League Of Their Own, as written by Pettibone in his Erotica Diaries:
The Erotica Diary [July-August 1991]
I wanted to start writing again. The last project I had worked on with Madonna was The Immaculate Collection but that was just a month and a half of working with that QSound stuff. I knew I could do something great after Vogue and Rescue Me so I just started putting tracks together with my assistant, Tony Shimkin. I wanted to have a few songs for Madonna to listen to when I went out to Chicago, were she was filming A League Of Their Own. I had no idea that she was planning to do an album at that time, but then again, neither did she.
I arrived in Chicago on July 8th and gave Madonna a cassette. I told her to give it a listen and tell me what she thought. She said she'd listen to it in the car, in the trailer, wherever she could. A few days later, I heard back from her. Madonna liked all the songs - three out of three. I decided to work on a few more. Usually, when I sit down to write, it isn't as if I have a specific person in mind for any one song. By the time I get to a certain place in the music, it begins to mold itself an identity and I think, "Hey, this person would like that." At the time, Cathy Dennis, Taylor Dayne, or Madonna were the primary inspirations for a variety of songs.
Deeper and Deeper, Erotica, Rain and Thief of Hearts made up the first batch of songs we worked on together. I did the music and she wrote the words. Sometimes I'd give her some ideas lyrically and she'd go: "Oh, that's good," or "That sucks." I remember when I gave her some ideas lyrically for Vogue and she said, very curtly, "That's what I do." Essentially, her songs are her stories. They're the things she wants to say.