NEW TIMES SQUARE THEATRE.George M. Cohan Company Has Option—Beck Was to Have Been Lessee.The George M. Cohan Theatre Company, recently incorporated in Albany, has obtained an option on the new theatre that is to be erected in Times Square, at the southeast corner of Broadway and Forty-third Street, by the Forty-third Street and Broadway Realty Company. The incorporators of the Cohan Theatre Company are Sam H. Harris and Dennis F.O'Brien of New York and Frank R. Tait of St. Louis.Martin Beck, manager of the Orpheum vaudeville circuit, was to have been the lessee of this new Times Square theatre, but he found that its capacity would be too small for vaudeville on the scale he desired.