Goodness, I thought I was bugging, beginning to question my sanity, as I couldn't find any such band.
Apparently not a band, but just a song that he did for his "Strumming with the Devil" Van Halen tribute album in which he did Jamie's Cryin' with some bluegrass band. The performance on Conan O'Brien was in 2006.
David Lee Roth - Jamie's Cryin' - Late Night with Conan O'Brien
YouTube Β· Damage Inc. Master Series
Aug 27, 2025
https://youtu.be/P43oLuqyH4Q