Fans can purchase their first single, the Cole Porter classic, "Anything Goes" on iTunes. Though some might questions Gaga's jazz pedigree, she was quick to note that she's been singing jazz standards since she was a teenager. But, it was singing with Tony, which she says is "so natural" that let her know she had the chops.

"I was so nervous to go into the studio with him, I just wanted him to hear I have an authentic jazz voice and that I studied that," she said. "If he can hear that, I'm okay. If he can't hear it, I'm not an authentic jazz voice."

Luckily, Tony knew she was a real jazz talent and even questions why she bothers doing her art pop when she could just be doing jazz."She sings so wonderfully, she's actually a great jazz singer," he said.