Not sure what you're referring to here; whether it refers to a special revenue passenger movement to see a specific performance, or the movement of the company itself.
I'm going to assume it's the latter case, and it's true that in the golden age of rail passenger service, theatre companies often carried the set work used in their perfomance along with them. The PRR dedicated several baggage cars in their fleet specifically to this service, and the Ice Capades might have made use of them.
But I'd also guess that, as with some symphony orchestras that stayed with the rails until fairly late in the game, the personnel might have ridden on regular trains while the impedimentia went on a mail run. A specialist site, such as www.prrths.com, might provide some more-detailed insights.