You should be fine around town with having a GA CHP, with the reciprocity. It is highly suggested that you carry and have your head on a swivel when in the city of New Orleans. OC and CC are permitted most public places. Notably NOT PERMITED is all bar rooms or locations that serve alcohol for consumption on premise, you can carry in the French Quarter district, but don;t go into any bars.
JazzFest itself maybe another issue. Usually private event organizers refuse entry to anyone with firearms. It is a private venue and they can set their own rules and ask anyone to leave (or refuse entry). I have not been to Jazzfest in several years, but i remember bag searches for food and drink. It is entirely possible they will conduct a search with metal detectors as well.