A female impersonator that had a bright career on stage and films a few years before Ray Bourbon was Julian Eltinge. He made his first appearance on Broadway in 1904, gave a command performance for Edward VII, and appeared in a series of musical comedies written especially for him. He was one of the highest paid stage actors of his age and starred in silent films from 1914 through 1920.
At his career peak, Eltinge owned one of the most expensive mansions in California, but he was wiped out by the stock market crash in 1929. He tried working in vaudeville and then nightclubs, but found difficulty getting bookings because of crackdowns on female impersonators in the mid-1930s. He died in 1941 after falling ill during a performance at Billy Rose’s Diamond Horseshoe.
I just discovered some rare sound footage of Eltinge in a “Voice of Hollywood” short. These features were produced by the small Tiffany Studio and had different stars saying a few words or performing on camera by the request of theater goers. The person posting the video noted that this was a British version of the short – I’m not sure if the Eltinge sequence was seen in the US version.
The Julian Eltinge sequence starts about :53 seconds into the video.
You can learn more about Julian Eltinge’s life and career at Wikipedia.