I have found actual footage from World Series the Cubs have been in! Granted, they lose every series I can show you footage from, but it is still quite interesting to see a Cubs team in the World Series.
1935 World Series, Game 3 Highlights (vs. Detroit Tigers): http://www.criticalpast.com/video/65675046236baseball-matchDetroit-TigersChicago-CubsDetroit-Tigers-win
Some no-sound footage from the 1929 World Series (vs. Philadelphia Athletics):
Some no-sound footage from the 1932 World Series (@ New York Yankees):
Quite intriguing that these clips have lasted and been uploaded, but also quite disappointing that the Cubs haven’t won recently enough to see them actually win a World Series on film.