Woody Allen has started filming “Fading Gigolo,” director John Turturro’s movie starring the “Manhattan” director and sexy leading ladies Sofía Vergara, Sharon Stone and Johnny Depp’s ex Vanessa Paradis. Allen and Turturro were spotted shooting for two days late last week at Upper East Side luncheonette Lexington Candy Shop. “Woody and John were eating” in the scene, a spy said, “then start a conversation with a woman.” Allen plays a pimp in the film, also starring Liev Schreiber.