I know that feel bro, going into clubs to practice alone can really be scary since there's no one to turn to for comfort. But just like overcoming approach anxiety, the fear can be eliminated.
What I did was not to be too overly ambitious, and force myself to head to a club alone for 15 minutes just to get the feel for it. Don't try to open sets, just go in there, grab a drink and make some friendly talk to some of the guys over there (since they're easier to approach). Also act as if you're waiting for someone so you won't feel like a creeper standing alone in the corner (serves as a good FTC when in sets too).
Personally I feel getting over the fear of practicing alone is a lot easier than overcoming approach anxiety. After hanging out in a club alone for 15 minutes, I realise it's actually a lot more efficient to practice alone rather than in group of friends who have no idea what you're trying to practice They're just dead weights unless they're aware of what you're running and can collaborate with you.
So here's the challenge for you: go alone to a club and hang out just for 15 minutes, nothing more. Don't pressure yourself too much, this is just the first step and you'd be surprised it's actually a lot easier and less scary than it first sounds. Good luck out there
