Just ran across that group the other day...
that clip came was the opening to Boardwalk Empire
this is my favorite clip but i wish her audio was better, i guess it’s the detached way she sings, and only song she ever did with the band
https://www.youtube.com/watch?v=3BqRNSlTXsw
if you like them at all here is a full live set at Glastonbury 2014, good show
https://www.youtube.com/watch?v=vx2rI0maXmk#t=96
the lead guitar and bass player have been known to duke it out on stage form time to time