Tony: Your observation that Agnes Moorehead and Orson Welles never appeared in the same scene in a movie is a keen one. She did appear with Welles, though I'm not sure they were on stage at the same time, in his 1937 production of Julius Caesar. Your remark about what a great Lady Macbeth she might have made reminds me that she performed that role with Welles in his Salt Lake City staging of Macbeth, which he used as a rehearsal for his motion picture adaptation, employing some of the same cast members. It is said, in fact, that he offered her the part in his movie, but that she was under contractual obligations for other movie work.
At least, they were on stage together.
Perhaps, two such flamboyant egos, one public and the other private, may have been a little too close for comfort, out in Salt Lake City. Their career paths seem to have split after that.
In the 1930's, Welles, Moorehead, Walter Huston, and John Huston took voice lessons from Walter Huston's sister, a former opera singer, in New York City. They were taught to lower their voices, at will, by half or even a full octave, a quality much favored in the growing mediium of Radio, which had tended to have tinny, treble speakers then.
I don't know if that class of has ever been fully explored in its implications for the performing arts of the next forty years.