DR Jane, I would occasionally wear jeans to the theatre, especially on weeknights. I would, however, dress them up with a blazer, and even a tie on occasion (sorry Keith!). On occasion I would dress them up even more with pearls, a brooch and a tiara, but only for specific shows.

In other words (oooh, a Frank Loesser reference!), real New Yorkers wear jeans to the theatre, so you should not feel uncomfortable.
I do, however, draw the line at wearing shorts to the theatre. And wearing sandals anywhere. I despise sandals almost as much as that woman in Marketing/Communications who is telling me that I should only be using one space after the end of a sentence!