The Knot-Hole Gang was a 1934 promotion for Goudey Gum baseball cards. Facsimile autographed baseballs were offered as premiums. Your baseball is most likely one of these, and not an ORIGINAL Lou Gehrig autograph. However, there's a remote possibility that he signed some at some type of promotional appearance. Even if it's a facsimile ball, it's still a very desirable collectible...can you post a photo?
You can see the club memorabilia in thekingofclout's posting in another thread near the bottom of the page...the link is:
http://www.net54baseball.com/showthr...ght=lou+gehrig