Our main evidence that Gregory Kelly (ca. 1891-1927) was in vaudeville is Eddie Cantor’s account that he performed with him in Gus Edwards‘ big time Kiddie Kabaret act. Edwards’ full length show School Days (1908) helped make Kelly a factor on Broadway, and he starred in close to a dozen Broadway shows over the remainder of his short life. Most notable were the original productions of two George S. Kaufman shows: Dulcy (1921-1922) and The Butter and Egg Man (1925-1926). Though he was only in his late 30s, he was felled by a heart attack while touring with The Butter and Egg Man in 1927. Read more about that here.
To learn more about vaudeville, consult No Applause, Just Throw Money: The Book That Made Vaudeville Famous, available at Amazon, Barnes and Noble, and wherever nutty books are sold.