Born in Hartford, Connecticut, she was one of twelve children of Italian immigrant parents. While still in her teens, Corio's good looks and shapely physique landed her showgirl roles that led to her becoming a hugely popular striptease artist. Her rise to stardom as a featured performer on the burlesque circuit began in 1925, working in theatres such as the famous Minsky's Burlesque in New York City and Boston's old Howard Theatre.
Corio had a long successful career dancing on stage. In 1962 she put together the nostalgic off-Broadway show This Was Burlesque which she directed and in which also performed. In 1968, she wrote a book with the same title. Her fame was enduring enough that in the 1970s—when Corio was long retired and in her sixties—she twice was a guest on The Tonight Show Starring Johnny Carson. During this same period, she took This Was Burlesque out on the summer stock circuit for several seasons. In 1981, the show played Broadway at the old Latin Quarter, which was then known as the Princess Theatre, and tried to compete with Sugar Babies which was running just a few blocks up the street. In 1985, she mounted the show for the second to last time in downtown Los Angeles, at the Variety Arts Theatre, where it did not have a good run. A year or so later, the show played a dinner theatre in Florida, where it closed for good. Ann can take credit for groomeingLou Costello into the wonderful comedian we know today. She gave him his start on her show "The Ann Corio Show."