The scene is certainly more lighthearted than I would've expected a Depression-era film to be. Most examples are manifested through Rainer’s characterization of the performer. Specifically, her performance itself is about “playing” and enjoying childlike amusements. She even plays with the audience by flashing the reflected light at them and giggling. Furthermore, her tone of voice is high and childlike, which is further emphasized through her giggles and dressing room remarks to her attendant (poo! well!) as if she is younger than she appears. Furthermore, the man at the opening of the clip, Ziegfeld, giving away a considerable amount of money and making a joke after it.
Depression-era themes are evident but not overtly obvious. The doorman’s comment regarding the 5 pound note is clear - his appreciation for this sum is evident, and Ziegfeld’s nonchalant dismissal seems surprising, but again communicates levity. It seems that the socio-economic issues were subverted to make way for humor.
If this film had been pre-code, I could imagine that Rainer’s performance about “playing” may have had some different connotations. Her costume/gown may as well have been more revealing. While it was form fitting, it was not particularly revealing. I would have fully expected an undressing scene in the dressing room - perhaps she darts behind a backlist screen to slip into a robe? Ament and Rydstrom pointed this out from The Broadway Melody, yet here another backstage musicals preserves this female star’s modesty quite a bit more.