In addition to writing, Conroy was an accomplished jazz pianist, winning a Grammy Award in 1986 for liner notes. His book Dogs Bark, But the Caravan Rolls On: Observations Then and Now includes articles that describe jamming with Charles Mingus and with Charlie Watts and Bill Wyman. The latter session occurred when Conroy was writing about the Rolling Stones for Esquire. Conroy had arrived at a mansion for the interview, found nobody there, and eventually sat down at a grand piano and began to play. Someone wandered in, sat down at the drums, and joined in with accomplished jazz drumming; then a fine jazz bassist joined in. They turned out to be Watts and Wyman, whom Conroy did not recognize until they introduced themselves after the session.
