I don't know if this is the pic you mean or not, but there is one in Joe Adamson's book, "Groucho, Harpo, Chico, and Sometimes Zeppo" that has Harpo playing the barbed wire harp and some fingers are bandged. I seem to recall another pic though, of Harpo standing next to the harp, holding up his bandged fingers. I haven't come across that one yet, but if I do I'll let you know.
For now, here is the one from Joe Adamson's book: