Helena Montana was a small, small town in 1935 and it is unlikely that it was on the books for any kind of road show whether it be theater or radio.It has been said that Jack did work at a candy store in New York as a salesman. If that was the case it was likely a radio matinee or an off Broadway production. It is rumored that he was late for the wedding because of a matinee performance.
Well it is possible that the above mentioned performance was one he booked outside of his tour for a little extra pocket money but probably not all that likely.
If you do the math then he started hitting the bottle in about 1935.
If you do the research you see very quickly that by 1935 Agnes was an established name in radio and Jack was an established name as Mr. I'm not saying he didn't work because he did but he was reduced to performing at baseball games: June 24th, 1935 The Helena Independent Performing at the game tonight Jack Lee-well known entertainer.
Her radio actor and scriptwriter husband, Jack Lee, is taking a year's leave of absence from radio and is renovating the farm.
I have yet to find any indication that Jack ever wrote a script.