The premiere of the second exile show took place on 1 January 1934 in Zurich, exactly one year after the founding of the Pfeffermühle in Munich. The theme was Kaltes Grauen (Cold Horror). Only five pieces survived from the Munich period. The new show included at least two star roles for Therese Giehse: Die Krankenschwester (The Nurse) and Die Dummheit (Stupidity).

"The most spine-tingling role was "Stupidity" portrayed by Therese Giehse," recalled Erika Mann later. "For this, Therese stood on a small pedestal, monumental, as though designed by Daumier, wearing a pink baby dress and a straw-coloured wig. She looked like gruesome stupidity personified, and sang my lyrics set to music by Eugen Auerbach. This number caused particular offence among the German officials." (quoted from: Helga Keiser-Hayne, ) Beteiligt euch, es geht um eure Erde, 1990)

Therese Giehse's unique interpretation of Erika Mann's lyrics about the rise and fall of stupidity left a lasting impression on the audience. The philosopher and writer Ludwig Marcuse also enthused about the unique cabaret experience created by "la Giehse" in the Pariser Tageblatt in January 1934: "Anyone who saw her will no longer view the word stupidity in abstract terms: instead she is the most famous, most memorable, most dreadful person imaginable."