'Born in the German city of Halle, near Leipzig on March 7, 1904, Reinhard Eugen Tristan Heydrich was raised in a cultured, musical environment. His father founded the Halle Conservatory of Music and was a Wagnerian opera singer, while his mother was an accomplished pianist. Young Heydrich trained seriously as a violinist, developing expert skill and a lifelong passion for the violin.'
http://www.historyplace.com/worldwar2/biographies/
heydrich.htm
So the gaff seems rather unlikely.
And yes, most Nazis were wannabe culturati. Albert Speer in one of his books describes them as 'diamonds in the rough'. They'd sit through operas and steal lots of paintings, but their taste was a rather low-brow.
The thesis of a film called The Architecture of Doom is that being mediocre frustrated artists was a key part of the Nazi mindset. The impulse to remake the world, says our filmmaker, was a perversion of the aesthetic impulse, spurred on by the bitterness of failure. It's a trend of totalitarians generally; I think Lenin was a poet, I know Mao was, and look at Kim Jong Il today.
I think Eric Hoffer's book The True Believer has a chapter about frustrated artists as well.
Brian
OT Movie P.S. - You might be interested in Wannseekonferenz and Hangmen Also Die. Both are better than Conspiracy IMHO.