At the 2011 show, Gaga performed -- and dressed -- in drag, as her male alter ego Jo Calderone. To complete the gender-bending transformation, Gaga wore a prosthetic penis, an insider confirmed to Us Weekly. The singer stayed in character throughout the night. "I am from New Jersey," Gaga as Jo told Us backstage. " My family is from Palermo, Sicily and I am not a singer or a model or an actor or anything. I am just a guy."