Electric recording started in 1925. The Louis Armstrong Hot Five sessions were among the first to benefit from electrical recordings.
About any Sun Ra with Fletcher Henderson recordings, John L. is right. Unfortunately.
The Sun Ra discography by Robert L. Campbell does not include any session with Fletcher Henderson!
I believe electric recording may have begun with the invention of the microphone.
Walter C. Allen's Henderson discography also addresses the issue of Ra w/ Henderson, and states that there are no known recordings.