I'm sorry to disagree with your teacher, but this sentence and the title of the play are too short to warrant a comma.
However, comma usage is sometimes a matter of judgment or a specific style. I agree with you that if one comma is used, another should be also used.
My answer was:
We will see a play called "Cinderella" on Tuesday.
My teacher says there is a comma after called.
I say if there is a comma there, then doesn't one need to be after Cinderella also?
2 answers
I agree with Ms. Sue and disagree with your teacher. Those quotation marks are there to indicate the name of the play; they are not the beginning of any dialogue ... therefore, no comma.