As it turns out, they were a real musical act of the time. Founded in 1926 and led by Sigmund Petruschka ("Sid" - pictured center) and Kurt Kaiser ("Kay"), Sid Kay's Fellows were a popular ten member dance band in Berlin. This jazz ensemble performed at the Haus Vaterland (a leading Berlin night-spot) between 1930 and 1932. And in 1933, they accompanied the great Sidney Bechet during his recitals in the German capitol. Sid Kay's Fellows also accompanied various theatrical performances and played in Munich, Dresden, Frankfurt, Vienna, Budapest, Barcelona and elsewhere.
From what I have been able to find out, the group's depiction in Pandora's Box (filmed in late 1928) predates their career as recording artists. In 1933, when the Nazis came to power, Sid Kay's Fellows were forbidden to perform publicly. They disbanded, and transformed themselves into a studio orchestra and made recordings for the Jewish label Lukraphon. Most all of their recordings seem to date from around this time, the early to mid-1930s. [Some of these scattered recordings, then issued on 78rpm records, can now be found on an out-of-print multi-disc set called Beyond Recall: A Record of Jewish Musical Life in Nazi Berlin, 1933-1938 (Bear Family Records, 2001).]
Here is a representative recording by Sid Kay's Fellows. It dates from 1930, and would, I guess, have been similar to the kind of dance music played during the wedding reception scene in Pandora's Box. Who knows, perhaps Brooks visited the Haus Vaterland or some of the other places depicted in this video.
Not all that much is known about Sid Kay's Fellows. Under the name "John Kay," band leader Kurt Kaiser had also, at one time, been a member of the famous Weintraubs Syncopators (founded 1924), whose members included Friedrich Holländer. That group appeared in The Blue Angel (1930), starring Marlene Dietrich, a film for which Holländer wrote the music including the famous hit song, "Falling in Love Again." I don't know if Kaiser was still playing with the group when they appeared in The Blue Angel. His fate from the 1930s onward is not known.
Sigmund Petrushka (1903-1997) was born Sigmund Leo Friedmann in Leipzig, Germany and grew up in a Jewish orthodox family. In 1933, Sid Kay's Fellows disbanded and he, under the name Shabtai Petrushka, founded a new musical group, while playing with The Orchestra of the Jewish Cultural Society and composing music for various plays. Using pseudonyms to disguise his being Jewish (as noted, there was a ban on Jewish musicians), Petrushka worked as a music arranger for Deutsche Gramophone and UFA films. In 1934, his fox-trot titled "Flying Hamburger" was recorded by James Kok for the Deutsche Gramophone label. In 1938, Petrushka was allowed to immigrate to Palestine, where his sister had been living since the 1920s.
Petrushka went on to a distinguished career: he joined the Palestine Broadcasting Service as composer, conductor and arranger of its orchestra. And in the first decade of the independent State of Israel, Petrushka served as Deputy director of the Music Programs Department of “Kol Yerushalaym” (“Voice of Jerusalem”). In 1958, he was appointed the Director of Music Section in “Kol Israel” ("Voice of Israel”), a post he held until his retirement. Some of Petrushka's recordings from the mid-1930's can be heard on this webpage devoted to Yiddish music.
If you are interested in finding out more, be sure and check out Michael H. Kater's Different Drummers: Jazz in the Culture of Nazi Germany (Oxford University Press, 1992). There are also many available CDs of music from the time, including Berlin By Night (EMI, 1991), TanzSzene Berlin 1930 (Bob's Music, 2004), and German Tango Bands 1925-1939 (Harlequin, 1999). I have each of them, and like them a lot. Some of their tracks can be heard on RadioLulu, the online radio station of the Louise Brooks Society.
When Pandora's Box debuted in Berlin in February of 1929, an orchestra playing a musical score accompanied the film. The score was reviewed in at least one of the Berlin newspapers. The score, however, does not apparently survive. And what is also not known is if the music of Sid Kay's Fellows, or any sort of jazz, played a part in the music of Pandora's Box.