Sandra Oh attended an Elvis Costello concert at at The Wiltern in Los Angeles in May this year and now his record label is releasing a 3-disc box set from the concert which was recorded. Sandra makes a brief audience appearance in the accompanying DVD, where she can be seen dancing it out. The Wrap who has reviewed the box set has more details on what that is all about:
If you've been waiting for the on-screen dancing debuts of either actress Sandra Oh or "Mad Men" creator Matthew Weiner, you're in luck. Both took part in the tour's lovably gimmicky wheel gambit, then stuck around to shake a tail feather. You'd swear their appearances mean the whole random-audience-member thing was rigged, but Elvis claims in the liner notes he didn't recognize either at the time, so maybe L.A. audiences really just are that industry-loaded.
You say you want a review of their dancing? Fine: [...] Sandra Oh, meanwhile, engages in some admirably uninhibited frugging with her date throughout "Everyday I Write the Book."
We don't have the actual footage, but it may have looked something like this: