If “Saturday Night Live” can perform to a live audience, why can’t theaters? That’s one of the arguments in a lawsuit filed by a coalition of eight Off-Broadway theaters and comedy clubs against New York Governor Andrew Cuomo and New York City Mayor Bill de Blasio. The city’s live venues have been officially closed since March, and have not been allowed to reopen. The lead plaintiffs in the lawsuit, filed in the Federal District Court in Manhattan, are Catherine Russell, the general manager of the Theater Center in Times Square, and Michael Sgouros of Greenwich Village’s the Players Theatre. Other...