A close examination shows that Stan and Ollie never share a scene with Thelma and Zasu. While there is some dialogue interaction and shots of Thelma throwing a vase which cuts to it landing near Ollie's head and a shot of the back of a blonde charging at them with another knickknack, it's a very brief shot. There's then a cut to a hallway with a shot of Stan and Ollie scrambling along then down a staircase as more junk is thrown at them. No one is seen doing the throwing. It would appear that Stan and Ollie shot their part when it was convenient for them and it was cut into the film later.