Well - she was a few streets away from her theatre, and she has long hair (extensions or a wig - I'm not sure which one) for the show. Maybe she did her hair for the show, and she just wore it that way to Letterman?
She totally cracked me up. I am/was sick in bed, and she made me laugh so hard!
So, that was the Drowsy Chaperone. Oh, I love it so much. I know it's not a perfect show...but it does what a musical is supposed to do. It takes you to another world, and it gives you a little tune to carry with you in your head for when you're feeling blue. Ya know?