Jeanette wasn't in Phantom. His co-star was a young ingenue named Susannah Foster (possibly still in her teens in 1942).
You'll find that it's very, very different from the Lloyd Webber musical, and very different from the original book. Claude Rains is very much the star.......except, of course, for that magnificent baritone Eddy voice. :o)
The underground set in it is the same one they used in the silent movie Lon Cheney version.
My introduction to the "Phantom" was a black and white horror movie when I was about 13. I don't know which version it was but my best friend was into stuff like that and would drag me to theaters or look this stuff up on TV when I was staying the night. It kind of freaked me out, the version I saw as a child, so I wasn't very interested in seeing the 2004 version. I'm glad I saw the previews because taking it from horror to music, and adapting the story, made it so much more interesting.