Fosse makes reference to it in his highly biographical All that Jazz film. And there is material on it in the definitive bio of him, All His Jazz. He started playing the burlesque circuit at 15, while still in high school, and you can see it in a number of his dance routines. Nobody knows why his mother let him work the strip joints as a kid.
...contrast that to Eddie Murphy, who used to sneak into Mahattan at night to play the comedy clubs, then fall asleep in school the next day...