When Curly is pointing down to the street, indicating the two men on the sidewalk are his uncles, we see a shot of the street below, stating the Stooges are 15-20 stories above the ground.
When the theater manager hurls a basket containing a pie that Curly catches, it would make sense the pie would have been smashed, but when he attempts to eat the pie, shortly after, it appears undamaged.
The Stooges want to climb the tallest building and jump off. But in the next scene, on top of the building, there are many taller buildings in the background.
When Moe shoves the pie into Curly's face, Larry can be seen stifling a laugh.
When Mr. Walsh is saying "Choo-choo! All Aboard!" while being escorted away by the sanitarium attendants, Curly is trying not to laugh.