From a report of a social event in The Virginia Teacher, November, 1920:

First to be announced by the ringmaster were the negro minstrels, who entertained with jokes and songs. Next came the five tiny lady singers, who sang "Five Jolly Consumptives" and other popular songs. The songs and the dances of the chorus girls were applauded by everyone.

"We're Three Jolly Consumptives" is mentioned in High School Life, Fond du Lac High School, 1923.

It is quoted in a WW2 novel, The Mountain and the Feather, by John Ashmead (Houghton Mifflin, 1961), page 332:

Oh we are three jolly consumptives,
Cough cough cough.
We get a free ticket to Tokyo,
Cough cough cough.

From a memoir about Jews in Colorado, Pioneers, Peddlers, and Tsadikim, by Ida Libert Uchill (University Press of Colorado, 2000—originally published 1957), page 7:

To the tune of "The Bear Went Over the Mountain": We are the jolly consumptives, We are the jolly consumptives, We are the jolly consumptives, Hock, tschu, ping. To the tune of the Toreador song we warned a victim of tuberculosis: To-re-ador, don't spit on the floor. Use the cuspidor. That's what it's for."