This is one of the later Vitaphone shorts--known as a "Melody Master". These later musical shorts generally were more straight forward and had simpler sets and no real story to tie it all together--just a famous band of the day doing their stuff. In this case, Ozzie Nelson and his orchestra entertain. Yes, this is the same Ozzie Nelson who later gained fame with the show "Ozzie and Harriett".
The short consists of three songs. The first is by far the best. It's a comical song called 'Wave the Stick Blues' and Ozzie sort of sings about his difficulties throughout the day as a result of being a band leader. I say sort of sing because he really is more of less talking through the nicely rhyming lyrics as you see his frustrations acted out. It's quite cute and this song along makes the rest of it well worth seeing. As for the other two songs, they are old standards--and done reasonably well.