Some twenty or more years ago I was on a club outing (I think AMICA,
but I can't swear by that) that toured Play-Rite Music Roll company
in Turlock, California.  One of our members played a piano there
that recorded onto a roll.  Each of us was given a copy of that
roll later (my memory is that it was just a bit later in the tour).

So at that time, at least, it was possible to "live record" onto
a roll.  As I recall there is even a playing mistake in the roll
(un-edited).  It was a very limited production of the roll too, under
20 copies, I believe.

David Dewey