BOSTON—It’s a common refrain from Shen Yun audiences: that they felt fortunate to have a chance to see a show that sells out so quickly. Financial planner Tatyana Karayeva and her daughter Anna Krivtsov had long awaited their first experience of Shen Yun. They attended a matinee in Boston on April 10. “I heard it before many times, and it was something I wanted to do,” said Ms. Karayeva. “So finally we’ve done it! Really really nice. Enjoyed it as well.” Shen Yun is a classical Chinese dance and music performance based in New York. Through its performances, it transports audiences to China’s recent and distant past to highlight “China before communism.” Ms. Krivtsov loved the women’s dances and how the costuming and props added to their display of talent. “I also liked the two-stringed instrument [the erhu] because I haven’t seen one like that. I’ve seen it played on …