I believe this question is asking you to say something that is unique to the performance of the musical -- something that you can't know about the musical by just reading the story or lyrics. The "performance context" includes the acting, the dancing, and the singing. The director of the musical is responsible for bringing out great performances from the actors and for "breathing life" into the story, so you might want to mention some good (or bad) choices the director has made. But performance also involves other aspects, such as the musical direction, the lighting and special effects, and costumes and make-up -- anything that affects the live performance of the musical.
I think it's worth noting that "performance context" isn't some common phrase you can look up. It's just two words that your teacher put together in a sentence.