Go West, Young Lady

That's Ann Miller fronting the cancan dancers in this 1941 film.

The costumes look like re-runs from the 1934 Merry Widow, but that's not a bad thing.  However, the cancan plays a definite second fiddle to Ms. Miller's routine:

https://www.youtube.com/watch?v=GN-odoriZCY

The photo is from an EBay auction by sfxarchive:

http://www.ebay.com/itm/1941-Ann-Miller-GO-WEST-YOUNG-LADY-Dance-Number-Chorus-Girls-Oversized-Photo-/161261313177?pt=Art_Photo_Images&hash=item258bec5c99

sfxarchive has an extensive collection of vintage photos.  See more at:

http://stores.ebay.com/sfxarchive?_trksid=p2047675.l2563

There is another sequence in which Ms. Miller dances in a short saloon girl skirt.  Some spinning, but no cancan there.  She is able to tap dance in boots and spurs though.  A link to a fuzzy video:

https://www.youtube.com/watch?v=j3TJvZb4UFU

Here are some photos and some posters that promise more than the film delivers:

Additional photo sources:

http://get.tv/sites/default/files/getTV_IOTW_ann-miller_trivia-3.jpg

http://myfavoritewesterns.com/tag/ann-miller/

http://www.benitomovieposter.com/catalog/images/movieposter/amazona-enamorada-img-5442.jpg

http://aeif.scalemodel.net/fsid.aspx?id=221481566214&sid=0&c=60312

http://www.amazon.com/Young-Original-Still-Strayer-Singleton/dp/B008SFJ654

http://forum.westernmovies.fr/viewtopic.php?t=7682

http://www.ebay.com/itm/1941-Candid-Ann-Miller-Go-West-Young-Lady-PHOTO-4n-/200398816535

http://get.tv/sites/default/files/getTV_IOTW_ann-miller_trivia-4.jpg