UPDATE: Turns out TV On the Radio also covered "Purple Rain" during a recent tour stop in Minnesota. That's below. Following a handful of notable onstage covers, Kelly Clarkson sang Prince's "Purple Rain" in concert on Tuesday night. Visiting St. Paul, Minnesota (where the Purple One hails from), Clarkson did her rendition per an audience request, saying, "This is such a great classic song from someone from here. This is ‘Purple Rain,’ y’all," before joking, "No pressure!" Watch a fan-shot video below.