Also, I heard Orson Welles refused to rehearse which constantly stressed out the director. To add even more stress, one day Welles dropped his script on the floor just before live air, scattering the papers everywhere. As the director began to freak out, Welles pulled the real script from his jacket. Just a prank!
I wouldn't put it past Welles, but the reality was that Welles was busy doing the Mercury Theater's Sunday matinee show, and was arriving by taxi at the studio, minutes before "The Shadow" went on the air.
There's an audio show, "The Story of the Shadow", running about 2hrs, iirc, that goes into a lot of the anecdotes, including the "dropping the script".
The longest, and final Margo Lane was a Canadian actress that had a story of being at some ritzy cocktail party, and describing her radio roles to some people, boring the heck out of them, until she said "...and I do 'Margo Lane' on 'The Shadow'", which got the entire room's attention.