It was available on one of the versions of the videotape of Welles' TV "King Lear" but that version is out of print and hard to find. I have never come across it.
It isn't out on DVD as far as I am aware. Moreover, "This Is Orson Welles" came out in 1992 (and was revised I believe in 1996). DVDs didn't exist at the time -- they were first introduced into the marketplace in 1997.