Managed to procure a copy of ROCK ALL NIGHT, and dig this - there is an instrumental played early on in the film, immediately following The Platters' two numbers, that has a two chorus bari solo that sounds like it MIGHT be Dolphy playing R&B. The swing of the player is not incompatable w/Dolphy's. And there's fleeting moments of tonal/harmonic manipulation that again would not be incompatible with how I'd imagine Dolphy would play on a strictly commercial R&B/Jump Blues type number. That's definitely him on screen, but is that actually him playing? We'll probably never know, but it's intriguing, if ultimately useless, to speculate that this might be an addition to the Dolphy discography.
Anyway, if you're an insecure Dolphy completist and want to leave nothing to chance, you can get the movie here: http://www.thevideobeat.com/store/product-104.html