Having spent ~40 years of my life in the Soviet paradise, I have never heard of such a story. Totally out of character for Stalin to publicly display such brutality, he would arrange for killing thousands by his henchmen, stayed in the shadows himself and organized the execution of executioners later on.
This is an extreme example of brutality which, if true, would obviously have been documented somewhere. Circuses were and still are primarily a vehicle for entertaining children. To have executed the clowns at a circus and then turn the automatic weapons on the children in the crowd would have been an act which would have shocked the conscience of even the hardest-hearted Waffen SS troops.
My own conclusion is that this is a rumor at best and completely made up by the author at worst.