The only known public performance of "Any Road" was in 1997, by Harrison, at the suggestion of Sukanya Rajan during an interview with Ravi Shankar conducted by VH1 (it was the last known filmed performance by Harrison).
The refrain "If you don't know where you're going, any road'll take you there" was essentially a paraphrase of an exchange between Alice and the Cheshire Cat in Chapter 6 of Lewis Carroll's Alice in Wonderland:
"Would you tell me, please, which way I ought to go from here?"
"That depends a good deal on where you want to get to," said the Cat.
"I don’t much care where--" said Alice.
"Then it doesn’t matter which way you go," said the Cat.
"--so long as I get SOMEWHERE," Alice added as an explanation.
"Oh, you’re sure to do that," said the Cat, "if you only walk long enough."