Then came a mysterious email: Would I like to check out a secret project called Monsieur, from Jon Neidich, the restaurateur behind the Nines, and the director Baz Luhrmann? Guess where it was.

I’ve only been sitting with Baz Luhrmann for five minutes when he gets the idea for a performance. The script? A monologue, written by him, about the mysterious fictional haunt of a man named ...