Aztec Two-Step has some very good video of Jesse on their 15th Anniversary Concert DVD (1986). He does "Yankee Lady" , "Rhumba Man" and support on a couple of other songs. However, the DVD is very inconvenient to use - it has no menu - you can't skip to the next song.

http://www.aztectwostep.com/store.htm#dvd

You can see the "Yankee Lady" performance on YouTube. Unfortunately, the video and audio go out of sync in the second half.

http://www.youtube.com/watch?v=LgPSKBPb0GY

There is also a very funny performance of "Helpless Blues" by David Bromberg on that DVD.

http://www.youtube.com/watch?v=r8FpJGsg-zI

The link to therhumbaman.com is posted on Jesse's website , so he wants people to see all this stuff. "The Studio answers age old questions" on the ETC page is pretty funny.