It is, of course, illegal to work in the US without a work visa.

A high-profile artist on a major tour (20-30 cities) could never hope to slip under the radar. And most of the reputable venues pay only by check, which means they send a 1099 to the IRS indicating that a gig was played.

Only a lower-profile artist, and only one playing a very small number of lower-profile gigs which do not advertise and which pay in cash (auch as house concerts) could possibly escape notice. And again, that is illegal. :-)