For the scene when Dan Quigley hauls Myra Gale across the apartment floor by her hair and throws her out the door, James Cagney taught his co-star Mae Clarke an old stage trick. When Cagney grabbed hold of Clarke's hair (holding her by the top of her head), Clarke reached up and grabbed Cagney's wrist with both hands. This put her weight on Cagney's wrist, instead of on her hair. Clarke then held on to Cagney's wrist, screaming, as he dragged her across the room.
When Myra (Mae Clarke) is reading from the California travel brochure, she gets a worried look on her face when she reads "Grapefruit". This is a reference to The Public Enemy (1931) (which also stars James Cagney and Clarke) where Cagney's character pushes a grapefruit into her face. Later, there is a grapefruit in a fruit basket Cagney offers to Clarke, but he turns the basket and tosses her a pineapple instead.
After James Cagney, dressed as a native American, dismounts a mechanical horse, he finds it painful to sit down in Lois' dressing room. When she enters and asks him what he's made up for, Cagney, who was fluent in Yiddish, responds "Big Chief Es Tut Mir Veh im Tuchas," which delicately translated means "Big Chief It Hurts My Rear End."
(at around 22 mins) When the gang's in the nightclub office, Dan is seated, and Myra is standing close in front of him. In this pre-Code movie, there's a moment that looks very much like James Cagney is kissing her gown over the location of her left breast.
Dan Quigley's fan mail scam actually had a real-life precedent: Ivan Lebedeff was cast in several prominent roles by RKO before they realized that a majority of his fan mail they had received actually had been written by Lebedeff himself.