After some checking, I'm pretty sure that; Here it is, Burlesque!, is the right program. The stripped woman in the fur coat skit would be very early in the show, probably after the first sketch. It's not a main act, and it's not even on stage (the two performers are sitting in the audience, next to real audience members). I don't think it's ever been released on DVD (just VHS), so it won't be that easy to find.
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