Well, it took me 15 years, but I finally watched the scene from
Alice Doesn't Live Anymore to which Tony was referring above! ... I caught part of the movie the other day on the TCM channel. I had completely forgotten that there was any connection between this film and our vocalist.
In came the scene with Ellen at the piano, and right away I said to myself, "hmm, sounds so similar to Peggy's version." But I promptly dismissed the thought, thinking that it was probably my febrile imagination -- i.e., a fan so taken with a favorite singer that he hears her even where she is nowhere to be found. Imagine my surprise, then, when, at the end of the scene, Ellen muttered, "well, Peggy Lee it ain't."
As for the film
After Hours, for decades it probably ranked as the best-remembered use of Peggy's singing of "Is That All There Is" on screen ... Then the final episode of
Mad Men, and now that finale has become the most popular visual connection to the recording.
Ivan
P.S. As for the possibility that Scorsese might find personal enjoyment in Lee's music, I remain unaware of any direct indication. His quote on
this page suggests that he leans toward doo wop and 1950s rhythm & blues.