This story has been updated to clarify there are two shows that benefit 10 families.

Wilco frontman Jeff Tweedy will play an exclusive live set during the annual fundraising show organized by recording engineer and poker player Steve Albini and his wife, Heather Whinna, a house manager at Second City in Chicago.

“Our Living Room Show,” being held Jan. 6, also will include performances by Saturday Night Live cast members Aidy Bryant, Mike O'Brien, Tim Robinson and Cecily Strong, who are all Second City alumni.

Tickets range from $300 to $1,000 (the top price includes a song request that Mr. Tweedy will play during the set).

Advance ticket sales from evening show benefit needy families selected from a Letters to Santa program.

"Living Room" s separate from the 24-hour-long improv and music show being held Dec. 17. A few years ago Groupon founder Andrew Mason performed on piano for that show, which also raises funds for the Letters to Santa program. Tickets for that are $20 at the door.

The Letters to Santa program started about 10 years ago when Ms. Whinna and her husband answered 10 letters to Santa that were sent to the U.S. Post Office by folks down on their luck. Privacy concerns forced the government to stop sharing such information, but it didn't stop the Chicago couple from wanting to help. They went to Jane Addams Hull House in search of families in need. When that closed, they turned to Onward Neighborhood House, which encouraged families to send letters.

Ms. Whinna and Mr. Albini sift through them and narrow recipient families to 10. “On Christmas Day we hand out money and gifts and clothing. When a family gets five or ten thousand dollars, it can really change their lives,” Ms. Whinna told me.

Along with ticket sales, audience members donated $10,000, which Second City matched. And SNL alum Fred Armisen helped deliver gifts, which turned out to be a big help because he was able to translate for some of the Spanish-speaking recipients.

In past years, Mr. Tweedy would auction off private shows. "He started out doing one and then more people would bid and he would do an extra show if they matched (the bid)," said Ms. Whinna. "Last year he did four. It was becoming exponentially ridiculous."