Chloe Sevigny: the hitman and her

Or rather she plays a woman who was a man but is currently in the act of "transitioning". She's called Mia, has breasts but as yet hasn't taken the final step. What that means is that Sevigny plays several scenes in Hit & Miss in which her only costume is a prosthetic penis.

"Every time they put it on I cried," she tells me when I (ahem) bring it up. "It took an hour or more, and they had to glue it and paint it. It was painful and it was awkward and I felt like a freak. Some of the producers and directors were like, 'Oh you should feel empowered.' 'Yeah? You try it and put it on and tell me how you feel.' It's really uncomfortable and unnatural ..." She pauses and then adds quietly "... for me."

Sevigny's sitting in the Covent Garden Hotel in London, fuzzy with tiredness. Exhaustion has clotted her voice this morning into a thick, warm narcotic rasp. In conversation she's open and honest and self-deprecating. She laughs easily (I like to think it's because I'm so naturally amusing but it may have something to do with her tiredness). There's no hipster attitude about her at all.

She's in town for a few days to talk about Hit & Miss. It's her first starring role, a six-part TV series that is Sky Atlantic's first original drama. So it's a big deal for her and for them. The series was created by Paul (Shameless) Abbott and written by Sean Conway. It's the story of a transsexual assassin who gets involved with the family of the boy she fathered when she was a man. Imagine an Almodovarian melodrama, transported to the north of England, geared down and injected with some DNA from a Ken Loach movie.

It's a slow throb of a thing, potent and bleakly beautiful. And frankly it's difficult to imagine many other actresses taking the role. Most would be scared. Sevigny too, she says. But she's very much a feel-the-fear-and-do-it-anyway kind of girl. "I just thought it was so out there and so provocative in a subtle way and like nothing I'd ever seen on television before," she explains. Yes. I think that's pretty safe to say. In the second episode there's an astonishing scene where a naked Sevigny slaps her prosthesis repeatedly. I think it should be obvious by now it's not Call The Midwife.

"I hated that scene. I tried to get them to cut that. I thought they wanted to drag it out for too long. I thought it was gratuitous and unnecessary. I felt sometimes they were pushing it. They wanted to show the penis as much as they could. To be provocative just to be provocative. I didn't think it was necessary to the story and I ended up getting into a lot of discourse with the producers over it." Producers usually win in such fights, though. "Yeah they do."

She's not bitching about the production at all, by the way. It's just she's happy to speak her mind. That gets her into trouble. Sevigny says that Mia was the most challenging role she's ever played. It didn't help that she was making it in and around Manchester far from home, friends and family. When she said as much, it bruised a few local sensibilities.

"I think I was quoted as saying it's grim up north. But I don't think I'm the first person to ever say that. I mean the UK is really beautiful. The landscapes up there were gorgeous. But it was just hard for me because I was working on this very intense subject matter, the biggest part I've ever played. I was the lead for the first time. I was single so I didn't have a boyfriend to call and complain or talk about things. I wasn't having sex. I wasn't eating any carbohydrates. I was practically starving myself to remain skinny and my frame of mind was just topsy turvy, so I think it wasn't so much the town. There are definitely worse towns I've shot in. Like Shreveport, Indiana."

It's surprising to think this is Sevigny's first leading role. She's been a familiar face on screens big and small since the early 1990s when she appeared in Larry Clark's Kids as a 14-year-old with Aids. She was 20 at the time, and had long since left her suburban home in Connecticut behind to live in New York. Soon she was working with the likes of (her then boyfriend) Harmony Korine, Lars von Trier in Dogville and Vincent Gallo in the notorious The Brown Bunny, receiving an Oscar nomination for her performance in Boys Don't Cry opposite Hilary Swank (Swank played a girl from Nebraska who pretended to be a man called Brandon Teena; Sevigny was keen on the part but ended up playing Brandon's girlfriend) and turning up in films as diverse as American Psycho and Woody Allen's Melinda And Melinda. In her downtime she modelled for fashion shoots and even set up her own fashion label.

But, if anything, TV has been the medium that's most recognised her abilities. Before Hit & Miss she had a long-running role in the HBO series Big Love throughout its five series. Next up, she's got a role in Ryan (Glee) Murphy's latest series American Horror Story, opposite Jessica Lange. Television allows you more room to explore a character, she reckons. "Five seasons might be a little too much time to explore a character," she admits laughing. "But I think television is having a moment right now."

Hit & Miss is another addition – one of the most outre – to her roll call of unusual roles. Could she ever imagine playing, say, the Black Widow in Avengers Assemble? "Sure, but I don't think they're interested in me. I love popcorn movies. It's not like I avoid them on purpose, which people think."

She does play Aids victims. Rape victims. Transsexual assassins. Mary Poppins roles, they're not. Is she not considered because of the parts she's already played perhaps? "I have no idea. I always say it's probably because I'm not good-looking enough." She laughs when I demur. "I think so. By Hollywood standards."

Hit & Miss is not a popcorn part. But it is a lead. She wants more of them. "Earlier on in my career I was definitely more driven by the director. I was not as interested in the part and just wanted to work with people that I really respected. Whether it was one line in an entire movie, like Lars von Trier's Manderlay, I just wanted to be with him again. But now I think I'm more concerned with character. As I'm getting older, to play the smaller roles doesn't feel as fulfilling. So I'm trying to hold out for the more juicy roles." And how easy is that? "It's easy until your money runs out," she laughs.

There's a knock on the door of her room. Room service with a cup of tea. Something to perk her up. "Oh God, I don't know what's going to help with that," she laughs. Does she feel in control of her career, I wonder? "I don't think anybody in Hollywood feels that way. It's such a fickle business. You never know what's around the corner. I feel absolutely out of control, which causes me lots of stress and anxiety and lack of sleep. Like last night."

Ask her what's she's proudest of and she talks about Big Love and Boys Don't Cry. But, she says, that seems so long ago it's boring to talk about. "If I could have two things in the world in the next year," she adds, "one would be to fall in love and one would be a film that's relevant again." Prosthetic penises are not on her wishlist. Unless there's a sequel ...

Hit & Miss starts on Sky Atlantic on Tuesday at 10pm