In the 1930 film "Song 'O My Heart" (from Fox) John McCormack sings several songs supposedly at a concert in New York. The numbers were filmed in 1929 at the Auditorium.
Miles Kreuger has a nice article describing the production, filmed both in 35mm and the experimental 70mm Fox Grandeur process. John Downe notes that two of McCormack's songs from the show are on YouTube: "Ireland, Mother Ireland" and "I Hear You Calling Me." Unfortunately, we don't see anything of the theatre.
See our page on the Philharmonic Auditorium for many photos of the building, demolished in 1985.