The best place to start is the Berg Collection which
has some correspondence.  But you never know where you
might find something about Twain at the New York
Public Library.  While going through a file of Sarony
photos in the Theatre Collection at Lincoln Center, I
stumbled on an uncatalogued one of Twain.  And I came
across a program signed by Twain in some Players Club
material in the Manuscripts Room.  Another original
photo of Twain from the "Twins of Genius Tour" turned
up in a drawer in Central Children's Room at the
Donnell Branch when I was doing work there.  The
library has the papers of many people associated with
Twain.  You never know what you might find.  Happy
hunting!