Bonnie Raitt, the world’s greatest redheaded slide guitarist, returns to the Jazz Festival on May 3, armed with a new CD—Silver Lining—and a band that includes pianist Jon Cleary, the exceptionally funky expatriate Englishman who calls New Orleans home and leads the Absolute Monster Gentlemen, Ms. Raitt’s opening act on her current tour.

Our original ideas was to enlist Mr. Cleary to interview Ms. Raitt, but it was eventually deeme...