During the Pansy Craze of the early 1930s, they "danced in the capitols of the world" and performed with and for the likes of Josephine Baker, Mistinguett, Charles B. Cochran, Max Reinhardt and even the Dolly Sisters - who they were said to impersonate. They also knew Lorenz Hart, Lew Cody, Edmund Goulding and other artists and actors, and were photographed by George Hoyningen-Huene. The Rocky Twins can also be seen with Marion Davies in the 1933 film Blondie of the Follies.
While there is nothing to tie them specifically to Louise Brooks -- especially as they were said to impersonate the Dolly Sisters, who also resembled Brools, I wonder if Brooks knew of them. She was certainly comfortable with men in drag and others gay entertainers of the time (Brooks frequented Bruz Fletcher's nightclub in Hollywood). Here is another pic of The Rocky Twins.