The first examples I've managed to find come from a late 19th or early 20th century manuscript of 8 pages, belonging to the family of Alphamoye Baber Djenepo, to which the cataloguers gave the title مكتوب في اللغة "writing on language" (which, after passing through a layer or two of translation, ended up in English as "Philology"). It's an obviously incomplete part of an alphabetical poem (unknown to Google) recounting the life of the Prophet, which gives for each letter of the Arabic alphabet in order a section rhyming in that letter. The language is somewhat obscure, and is copiously annotated - mainly in Arabic, but every so often in Songhay.
On p. 8, for instance, we see the Arabic word تَعَوُّذِ "seeking God's protection" glossed with the Songhay word sumburku "holy formula, spell":
On p. 9 of the same, we see Arabic نَادِ "caller" glossed with Songhay kaati "call, shout":
This particular example is too recent to contribute much to Songhay philology, but it at least proves that Songhay was used to gloss manuscripts in Djenne, and suggests that it would be worth looking through the collection for other examples.
(Added after posting): On p. 5, we find Arabic تمساح "crocodile" glossed with Songhay kaarey "small crocodile sp.":
(PPS): And in this undated fragment of Maqamat al-Hariri, p. 4, we find another identifiable Songhay gloss (or at least a word found in Djenne Chiini): tangara for قضيب "rod, staff", followed by عجم "non-Arab" to make its status clearer: