Never did understand why in the US nobody could call a spade a spade.
This and that are demonstratives, or Demonstrativpronomen in German.
If there is only one bathroom, then the bathroom is simply "das Bad". If you need to select one specific bath out of several bathrooms you would say "dieses Bad" and point your finger to the door of the selected bathroom. Another bathroom would be "jenes Bad" (that bathroom) or "das andere Bad" (the other bathroom).
Note for anyone going to visit Germany: I remember my German prof stressing don't ask for "das Bad/Badezimmer" if you need to go to the bathroom. Ask for "der Wasserklosett" or "die Toilette". Otherwise you might end up in a room with only a tub and sink...
I've never been to Germany, so can't confirm if true, but I figure I would be remiss not to pass on the warning.