You'd have thought that if anyone was a committed female rocker, it would be Pat Benatar. Sure, early Simon and Linda Ronstadt were considered strictly pop artists and they strayed from rock to make more traditional records. But not Pat. And for her to make a blues record? About all she has in common with the blues, you'd think, is that she shares a manager with Bonnie Raitt.

And there was no indication that Roomful of Blues—an earthy blues establishment from Providence, Rhode Island—would...