"Rolf, the mandolin-playing terrier, was regularly featured on Art Nudnick's Musical Menagerie. The Sunday afternoon variety programme was a hit on WYNC in 1925"This is the kind of story that you hope to be true. But so far I've found nothing. No Art Nudnick, and no Musical Menagerie... at least not on WNYC-AM. But the date is plausible. It is one of the oldest licensed radio stations in the U.S. It made its first official broadcast on July 8th 1924. they were operating on 570 AM at the time. They had the frequency all to themselves until 1928 when they were forced into a time share with WMCA-AM which lasted until 1931 when they became a daytimer on 810.
The mic is a prop but the mandolin looks curiously playable. It was the right era for strange radio programming, in those eccentric and experimental early years when there was a lot of airtime and not enough talent and programming to go around. I can't be sure.