I've got a Gehrig autograph on a 1939 Baseball Centennial first day cover. Been searching around online to try and determine whether or not Lou Gehrig was actually in Cooperstown on June 12, 1939 for the festivities. So far I'm coming up empty.
According to Wikipedia, on June 13 Gehrig flew from Chicago -where the Yankees were playing at the time- to the Mayo Clinic in Rochester where he was eventually diagnosed with ALS six days later.
Given that info it seems unlikely Gehrig was in Cooperstown on June 12 but I'd love to confirm.