Louise Brooks effected her escape from Kansas not through the movies, but thanks to dance. Having impressed Ted Shawn during a touring visit to Wichita, she was offered a place at the Denishawn dance school in New York, arriving there as a 15 year old in 1922. By the years' end, she was a member of their touring company, and remained so, gaining larger and more prominent parts, until her dismissal in 1924, reportedly due to her attitude problems. Discipline never was Brooksie's strong card, not when there was parties to go to, and fun to be had.
For more on Louise's time with the company, Louise Brooks and the Denishawn Dancers gives a good overview.
The ever-impressive Louise Brroks Society has these two features: a bibliography of her press mentions in her Denishawn days; and a collection of Denishawn images.
There are several short biographies of the Denishawn founders: Ruth St Denis here and here; and her husband Ted Shawn here; and their most successful former pupil, Martha Graham, is profiled here.
Finally, two scanned copies of Denishawn souvenir programs, both from after Brooks' departure, but giving a good flavour of their work -
Souvenir Program of 1924 Denishawn USA Tour (part way down page)
Souvenir Program of 1925 Denishawn Oriental Tour (part way down page)