This can be seen in the 1929 movie The Cocoanuts by the Marx Brothers. The full movie can be seen on this site (The youtube version I found did not feature the full credits). In the initial scenes following the credits, there are several different beach scenes, and briefly at 3:12 into the video, you can see that it is an orchestra providing the music.
While it is not acknowledged by the characters as the other examples, the book "After the Silents: Hollywood Music in the Early Sound Era 1926-1934" does consider this to be an example of diogenic music.
After several such shots, the image briefly reveals an unobtrusive conductor and small orchestra buried in the top left corner of the frame apparently providing music to the couples nearby.
It also details a second scene (Song "Where my Dreams Come True" ) in which this occurs, and concludes:
In both cases the filmmakers display little interest in tying music to onscreen sources. Instead, the music seems to be channeled from the filmmakers directly to the film audience.
Further reading on the page attributes it to the Marx Brothers' vaudeville background, which regularly engaged the audience in the act.