Somewhere, the BBC is sitting on a series from the early 90s of six half hour shows Sessions gave to a live audience - as I recall purely improvised.
There should also somewhere be a recording of "Napoleon" - since I recall watching it with a brilliant riff on a kazoo being "Das Boot" and Sessions doing voices from inside.
I have to correct my PP - it was actually "Napoleon - The American Story" that I saw. Which was a follow on. Had the sublimely brilliant routine of Robert De Niro discovering the joy of panto ("From now on, it's Bobby de Niro ...)
Plus the sheer genius in "Whose Line Is It Anyway ?"