They're not "watching" the radio. They're listening carefully to a story, each one getting a different picture in their mind, using their imagination rather than having someone else plant visions for them.
This was a photo of the Charlie Birger gang. More info here: http://www.carolyar.com/Illinois/Govern/Birger.htm
What "got you" about it. His genius was the comedy and the fact he could change characters instantly. He never claimed to be a great ventriloquist as his lips often moved. Charlie McCarthy was hugely popular almost like a live character and Mortimer & Effie were very funny too. Those were the reason for his incredible success.