Lucille Ball has done various audio, movie and television work with the major comedy teams of the day, including The Three Stooges, Abbott and Costello, Laurel and Hardy and The Marx Brothers. Here is an episode from a radio program called G.I. Journal, from 1945 where her and Groucho are guests on the show. You have to download the MP3 file to listen to the broadcast.
G.I. Journal with Lucille Ball and Groucho Marx.