That's one of those musical saws you play with a bow. There was some ambient synth playing in the background and there were a bunch of effects on the mic so she'd play a note and it would trail off for ages

Musical saw, cowboy hat, and a veil or shawl over the top.

Took the girlfriend to an event called Basket Case. I thought it would be a burlesque variety show but it was more of a one woman show about death and working in a queer funeral home