RedHotJazz.com has playable recordings of SHOW ME THE WAY TO GO HOME by these bands:

The California Ramblers, 1925.

Harry Reser and His Orchestra, 1925.

Tommy Christian and His Orchestra, 1925.

Unfortunately, they only sing the chorus, not the verses. (You can, however, hear snatches of other songs such as HOME SWEET HOME, HOW DRY I AM, etc., between choruses.)