Gaga, 32, who played a young singer in A Star Is Born, is now in the midst of a residency at the MGM Park Theater, where she started her run of shows in December.
Lady Gaga kicked off her extravagant - and already selling-out - Vegas residency on December 28, 2018.
Her disco ball-like bodysuit melted right into her glittering pointed-toe boots covered in the same mosaic style.
No-one in the crowd seemed to know what was coming as Gaga played the opening chords of the song, her closing number for the show.
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If he continues to do that then nobody can turn around and say you shouldn't get the job because he hasn't done X, Y and Z.
She wore fishnet tights with the bright piece as well as black knee-high boots.
The singer then took a seat at the piano and began playing as Cooper stood up and leaned over the instrument, joining her in singing the chorus.
During this part of the show, Lady Gaga can be seen wearing an oversized tee, sparkly underwear and knee-high textured boots.
Bradley Cooper directs and stars in A Star Is Born alongside Lady Gaga.
Shallow has also been nominated for academy award for best original song, meanwhile A Star is Born has been nominated in six other categories.