Jerry Macy and John Ryan recorded their version of Are You Lonesome To-night? in New York on 27 June, 1927. Piano accompaniment was provided by Rube Bloom and celeste by Justin Ring. The recording seems to have been released on at least two more labels, other than Okeh 40866, as the Discography of Okeh Records… also indicates Pa E5920 and A2466, though what the full name of these labels is, I do not know. (Information from Discography of OKeh Records, 1918–1934 by Ross Laird and Brian A. L. Rust.)
Here's a more unusual Australian Parlophone pressing of A2466 (thanks to reader Lyn Phillips for providing this scan)
Thanks to John Maxwell for providing this sound clip.