Let's hear it for the amateur photographer who took this photo and then wrote down in the scrapbook when it was taken! I have so many photos without any information at all ... no date, no location, no ID's of all the subjects, or why they were at the unknown location on the unknown day. Frustrating.
March 30, 1939 ... let's see. On April 3, 1939, Bob gave testimony before the Senate Interstate Commerce Committee as a representative of SAG. Backtracking to March 30th, he would most likely be en route to Washington, D.C. from Los Angeles. In 1939, he would probably have taken the train, and the fastest route was through Chicago, where he had to change trains. I am, therefore, guessing that the photo was taken at Chicago Union Station.
So, I am fairly sure of the why, where and when of the photo. That leaves the who, as in who are the two lucky ladies that have surrounded Bob. There are always ladies with Bob when he is seen in public. No particular surprise there!
It is really a good snapshot, the photo is nicely vertical and there's no blurriness. It is too bad Bob's eyes are squeezed shut. It's probably the smoke from holding the cigarette in his mouth.