You cannot hold two different non-immigrant visa categories simultaneously, but if your agent wishes to file an O-1 on your behalf (and assuming you meet the criteria for extraordinary ability in the arts), then your agent can file a change of status application on your behalf. You would not be able to begin work on the O-1 until the petition is approved. But you may be able to go on auditions while on the E-3 as long as you're not engaging in employment that is outside of the scope of your E-3. I recommend you speak with an experienced employment-based attorney to guide you through this process. Thank you.
This information is not intended to create an attorney-client relationship, as the information provided is extremely limited and without the benefit of having all facts available.
And other 55 different visas if you are eligible for each separately, applied and got those approved. You can only enter in one status at a time though which fits the purpose.
NYC EXPERIENCED IMMIGRATION ATTORNEYS www.myattorneyusa.com; email: firstname.lastname@example.org; Phone: (866) 456-8654; Fax: 212-964-0440; Cell: 212-202-0325. The information contained in this answer is provided for informational purposes only, and should not be construed as legal advice on any subject matter.