The movie is partially based on a true incident. In 1933, Mary McElroy, the opium-addicted daughter of Henry McElroy, Kansas City's City Manager, was kidnapped from her home by a group of amateur kidnappers. After a $30,000 ransom was paid, Mary McElroy was released unharmed. Her four kidnappers were later caught and sentenced to life in prison.
Robert Altman gathered together some of the greatest living jazz musicians, put them on a set representing the Hey Hey Club and asked them to play period material in the style of the Kansas City jazz giants like Count Basie, Coleman Hawkins and Lester Young. He filmed this separately after he had done the fictional plotline, and then intercut it with the narrative.