No, it wasn't the 1988 Democratic National Convention, where he delivered a big speech. This was a governors' conference in northern Michigan the year before. The command performance was to be delivered on his saxophone--during a show featuring Motown stars The Four Tops, Martha Reeves and The Vandellas and Junior Walker.
"At the end of the concert, this guy came up to me and says, 'They want you to come play with them.' And I said, 'You have a horn?' They said, 'Yes.' I said, 'What are we going to play?' They said, "Dancing in the Street.' You know it?' I said, 'Oh yeah,'" Clinton said.
"I said, 'What key is it in?' He says, 'I don't have a clue.' And I said, 'Can I warm up the horn for 30 seconds?' They said, 'No.' I said, 'OK, I'll do it.'