there's quite a comprehensive discussion on Djangos UK venues on the hotclub forum http://www.hotclub.co.uk/. There was no mention of a liverpool date. Maybe try posting on that thread.
Well, they were supposed to play on 4 Sept 1939 at the Shakespeare Theatre in Liverpool, but on the 3rd Django split for France on hearing the declaration of war. See Vernon's Contextual Bio-Discography.
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best,
Jack.