The band was playing a bunch of songs before the brothers arrived, the brothers just performed the “last two songs”. We see Cab Calloway warming up the crowd with one of those other songs. It was all for a good cause and I’m sure the outlaw nature of the duo was no surprise to anyone. We as the audience are “in on it”, seems safe to assume the on-screen audience is kind of “in on it too”. “Orange whip? Orange whip? … Three orange whips.”