I recently came across a copy of the Vaudeville News and New York Star that mentioned Donna and Sammy. The December 18th, 1926, issue, Page 10, has a short article which says:
Donna Darling and Sammy Clark are in Chicago doing their Christmas shopping and attending to some business relative to the Donna Darling Review. They have had a splendid season up to date for 1926 and 1927 looks very promising to them. Why not? They are a clever people with good material and pleasing individuality.
On December 12th Donna & Sammy played in Dubuque, Iowa and on the 19th, they opened at the Colonial Theatre in Detroit. So they were probably in Chicago between the 13th and 18th.
Source: The University of Illinois at Urbana-Champaign – University Library.