I think the Wiki author has a few wires crossed. While some witnesses did interpret the crowd's stunned reaction as at first thinking the murder was a "trick", they didn't mean garden-party pranks--they meant theatre staging techniques.

The play was Mam'zelle Champagne, a canned variety show, being performed on the more intimate, cabaret/restaurant-type rooftop rather than in the cavernous main hall. White was seated at a table in the middle of a single-level audience area. This is the theatre in question, although accounts of how the murder happened might suggest a less packed-in seating arrangement like this one.

Thaw approached White in the middle of an upbeat, slightly silly song and fired. What some newspaper accounts add is the play's context: the song followed a duel between two characters! Per the newspaper accounts of the time:

Two of them said that the reason the fright of the audience was not worse when the shots rang out was that just before the tragedy a dialogue concerning a burlesque duel had been carried on by two of the characters, and many people thought that the old trick of playing in the audience had been tried again.

You've probably been to a play or seen on the Tony Awards that the action sometimes spills into the aisles, right? That's what was going on here--some people in the audience had that first instant flicker that it must be part of the show, since they were way more used to that than they were to murder at the theatre. (Other than that, Mrs. Thaw...)

A police officer stationed near the theatre later testified that he had at first had the same thought upon hearing the gunshot--Oh, maybe it's part of the show!. Regardless of whether that memory was 'accurate' (see also: reliability of eyewitness testimony), his remarks also show from the standpoint of the gunshot how normal for theatre the whole scene might have seemed in the instant.

It's noteworthy that the actors onstage were horrified immediately, even though their view was hurt by the scalding stage lights:

On the stage one of the characters was singing a song entitled "I Could Love a Million Girls." The refrain seemed to freeze upon his lips. There was dead silence for a second...The [chorus girls] were paralyzed with horror, and it was impossible to bring the performance to an orderly close.

They were passing the Voight-Kampff test because they knew the play. They knew there was no surprise! duel reprise busting out in the middle of a lively song to amuse the audience.

Here's a transcription of the article I'm quoting from, from the New York Times. The other accounts I've seen just emphasize how quickly everyone was shocked. So I do think we have to remember that the whole "it was a stage trick" was the interpretation of two witnesses interviewed by this journalist--it may be right, it may be wrong.

But either way, it was a plausible enough story for the reporter to believe, and more importantly, a plausible enough story that their readership would immediately grok "the old trick of playing in the audience."