According to contemporary accounts, this concert, broadcast over Gowen's experimental station, 2XX, took place on March 13, 1921.
Science and Invention, May, 1921, page 49:

"Radio  Vaudeville"  Heard  Miles  Away

    A "wireless vaudeville" performance was staged in the home of Robert F. Gowen in Ossining, N. Y., recently, and was transmitted by radio telephone to audiences miles away. One of the photographs shows Rosetta and Vivian Duncan, twin sisters in Fred Stone's "Tip Top," a New York theatrical success, starting their act before the transmitter. Among those present was Mr. I. R. Lounsberry, well known an amateur radio experimenter, who arranged the transmitting apparatus.
    Mr. Robert F. Gowen at whose home the show was given, is the Chief Engineer of DeForest Radio Telephone and Telegraph Co., which has a station at High Bridge, New York City, at which station Lee De Forest, the inventor, and a party of guests overheard the musical number and dialog of the entertainers.
    Selected audiences in various cities in Connecticut, Ohio, Arkansas, Illinois, and Washington, D. C., also heard the show staged at Ossining, N. Y.
Duncan sisters