updated 07/29/2014 AT 9:00 AM ET
•originally published 07/29/2014 AT 11:30 AM ET
They may look like an unlikely duo – the decade’s most provocative pop star next to an 87-year-old jazz crooner – but Lady Gaga and Tony Bennett had an instant connection when they met three years ago.
“We were fast friends – friends ever since [our first meeting],” Gaga, 28, told PEOPLE Monday at the taping of their PBS jazz special, Tony Bennett & Lady Gaga: Cheek to Cheek LIVE!, in New York City.
The collaborators initially connected in 2011 when Gaga was performing at the Robin Hood Foundation charity gala and the duo will release their jazz album, Cheek to Cheek, on Sept. 23. Their first single, “Anything Goes,” debuted Thursday. Listen below.
“When we were there, I sang a jazz song, ‘Orange Colored Sky,’ ” she says. “Tony heard me sing it, and he asked to meet me after the show. And I said, ‘Oh my gosh! Tony Bennett’s here!’ ”
The classically-trained musician and one-time Tisch School of the Arts student says she was “so nervous” to meet the legend.
“I fixed my hair, and my mom was fixing her makeup, and then we went back to meet him,” Gaga says. “He said, ‘Do you want to do a jazz album together?’ And I said, ‘Yes, of course I do!’ ”
“How about that?” Bennett added with a chuckle.
Before recording their own album, Gaga and Bennett – both native New Yorkers – teamed up for “The Lady is a Tramp” on his 2011 album, Duets II.
But what can Little Monsters expect off the new record?