The Poker Face hitmaker headlined the Z100 radio station's show at Madison Square Garden and thrilled fans with a high-energy set.
She danced provocatively during a rendition of Bing Crosby's holiday hit, and sent the crowd into a frenzy with her new version of the track.
Gaga explained, "I recently added a couple of lyrics to this song because I think it's too short. It's like when you really start to enjoy it, it stops. It's like a really bad orgasm. Merry Christmas New York!"
The singer also reminisced about the first time she attended the Jingle Ball as a child, telling the audience, "I worked so hard and when I was 11... my mom got me tickets to Jingle Bell Ball."
Other performers at the event included Kelly Clarkson and Demi Lovato, who sang Have Yourself A Merry Little Christmas together.
The former American Idol winner later sent a message to the pop star on Twitter.com declaring, "Girl we have got to sing together again! You have such a powerful and beautiful voice! I love your spirit."