Looks like song book illustrations will prove the most fruitful field. I have a pretty dreadful book of Canadian folk songs illustrated dreadfully by the otherwise excellent and beloved Canadian painter Arthur Lismer. And here is a link to an exhibition inspired by this same book.
Also William Sharp's illustrations of Stephen Foster songs can be seen in this nifty book.
Another area to explore is historical events which have been the subject of both paintings and songs. For example, there are several songs about The Death Of Wolfe in Digitrad.