What was the entertainment scene like for Jews in concentration camps during the Holocaust?

There's not really one single answer to this question, as conditions varied from camp to camp. Some camps, like Terezín (in today's Czech Republic), had very active cultural lives, while others (particularly the death camps in Poland) did not.

Let's talk about Terezín. This was a concentration camp in the Bohemian Protectorate, near to the border with Germany. The camp was set up around an old military fortress which had been built by the Hapsburgs in the late 1700s. The camp comprised both this old fortress and the adjacent garrison town. Terezín, during its time as a concentration camp, had a thriving cultural scene thanks to the large number of Jewish cultural and intellectual figures who spent time there. Notable people who spent time in Terezín include the composers Victor Ullman and Rafael Schächter, the pianist Alice Herz-Sommer, the painter Malvina Schakova, among numerous others. All of these individuals performed and produced works during their time at the camp. Terezín also had its own jazz band, which played for members of the Danish Red Cross during their visit in 1944.

Terezín is also remarkable for the cultural output of the children who were also interred their, memorialised in the book I Never Saw Another Butterfly. The artist Friedl Dicker-Brandies held art classes for children in the camp, and a large number of the children's drawings and paintings were preserved.

While this was by no means the norm, some form of cultural life also existed in other camps. Songs emerged from a number of concentration camps, and were (to a degree) spread to other camps as prisoners were transported across Europe. Songs also came into the camps from the various ghettos around Eastern Europe.

Let's move on from Terezín, and talk about Auschwitz.

Auschwitz had its own distinctive cultural environment, which was informed by the harsh atmosphere of the camp. For ordinary prisoners there was little general access to instruments, so much of the music created in Auschwitz was vocal. Songs, which were often based on pre-existing melodies, served as a distraction from the horrors of daily life, a reminder of the past, and as a way to spread news and information. A number of them reflect the dark and vulgar humour which emerged among some prisoners. For many, the most prominent source of music would be the macabre prison orchestras, which played at the gates, at executions, and in the medical block. Five of these prisoner orchestras were established at Auschwitz.

More privileged prisoners - functionaries, and those who worked the better jobs - had more access to music, however. Members of this 'elite' could (and did) pay other inmates to perform for them. They were also more likely to have the time and resources to compose their own, longer pieces of music, unlike the other ordinary inmates.

This was by no means an exhaustive overview, but I hope I've provided you with a decent snapshot of cultural/musical life across some of the camps during the Holocaust. If you're interested in listening to any Holocaust music, just to get a feel for it, the United States Holocaust Museum has an online collection which you can find here.