Mark Twain and George W. Cable were indeed in Saratoga Springs on February 20, 1885. His lecture was part of a series sponsored by the Saratoga Athenaeum, a private subscription library that was founded in 1885. I believe this was the first lecture and have not been able to determine if there were others. 

Mark Twain, as you may know, had connections to Saratoga Springs, including as one of the people instrumental in bringing Ulysses S. Grant to Wilton (just north of Saratoga Springs) to stay at the Drexel Cottage where he wrote his memoirs. The cottage is now called Grant Cottage. You can check out their website at www.grantcottage.org. 

(email correspondence with):

Teri Blasko
Local History Librarian
Saratoga Room, Saratoga Springs Public Library
49 Henry Street, Saratoga Springs, NY 12866

Image of Town Hall from:
Robert Joki
Stereoscopic Collection,
Saratoga Room, Saratoga Springs Public Library

Clippings from Saratoga Evening Journal February 17 and 19, 1885