Open this photo in gallery: Alan Cumming and Ari Shapiro perform their live stage show, Och & Oy: A Considered Cabaret.Tyler Phinney/Supplied A public radio broadcaster and a multihyphenate TV host walk into a bar. Then what? They create a touring stage show, obviously. The origins of Ari Shapiro and Alan Cumming’s friendship may sound like the punchline to a joke about the cultural elites of New York and Washington, but the men became fast friends when they met in 2014 through a mutual acquaintance, in Cumming’s Cabaret dressing room on Broadway. (“Club Cumming,” Shapiro calls it.) For years, Shapiro,...