DeFord Bailey walked onto the Grand Ole Opry stage with a slight limp. Decked out in a bow tie, pocket square and polished shoes, he stood on a Coca-Cola crate to offset his 4-foot-11-inch stature. It was 1936. Bailey looked out at the audience, sitting on wooden benches in the Opry’s Dixie Tabernacle, just east of Nashville’s downtown core. He carried a harmonica, or “a harp,” as it was often referred to at the time, in his left hand. When he brought the harmonica to his mouth, he played a tune that sounded like the bold whistle of a locomotive...