Each December, Scottish theatre turns itself over, almost entirely, to pantomimes and Christmas shows.

So popular is festive theatre that – with a jocular "ho! ho! ho!" – it bundles its way down the cultural chimney and takes over almost every stage in the land.

The most notable exception to the yuletide switch from normal service, this year as last, is the Traverse Theatre in Edinburgh. Following on from 2011's winter production The Tree Of Knowledge (Jo Clifford's comedy about the arrival of David Hume and Adam Smith in 21st-century Edinburgh), recently appointed Traverse director Orla O'Loughlin is opting this year for another defiantly alternative seasonal offering.

The Arthur Conan Doyle Appreciation Society (a co-production between the Trav and acclaimed English touring company Peepolykus) is a play-within-a-play. Three actors bring their touring show to the Traverse. As we watch them set up their production we are drawn, increasingly, into the life of Arthur Conan Doyle, creator of Sherlock Holmes, believer in spiritualism and, of course, one of Edinburgh's most famous sons.

When I meet O'Loughlin in Leith, where the show is being rehearsed, I find her simultaneously relaxed and excited about the production. "It was an idea I had before I even got the job up here," she explains. "I was aware that Arthur Conan Doyle was a prominent and beloved figure locally, nationally and internationally. It seemed like a subject that was ripe for exploration."

In 2007, O'Loughlin (then artistic director of Shropshire-based theatre company Pentabus) made an acclaimed stage version of Conan Doyle's The Hound Of The Baskervilles with Peepolykus. The new show is similar collaboration. It is co-written by Steven Canny and John Nicholson, and performed by a cast of two men (Nicholson and Javier Marzan, both of Peepolykus) and one woman (fine Scottish actress Gabriel Quigley). Nicholson and Marzan have, O'Loughlin explains, been working together for 15 years. Consequently they have developed "a wonderful shorthand in the way that they work together".

As for Quigley, she was an obvious choice. "Physically and in terms of timing, she's so immaculate on stage," the director enthuses. "Whenever anyone asks who's in the cast and I mention her name, they are always delighted and want to come and see the show."

There are, O'Loughlin explains, three elements to the show. "There's the story of three actors doing a tour. Then there's the life of Arthur Conan Doyle, as seen through the eyes of his friends and family, as well as through biographical details; this includes amazing moments such as us reconstructing the friendship Conan Doyle had with Houdini."

That latter relationship feeds into the third element of the play. "It's also a show about magic," she says. "We're working with a fantastic magician, so there'll be a few surprises, very much in the Victorian tradition."

O'Loughlin detects an increased interest in magic and illusionism in Scottish theatre, citing Rob Drummond's recent Fringe hit show Bullet Catch at the Traverse and, prior to that, the Royal Lyceum's production The Infamous Brothers Davenport. It's an interest which, she thinks, might make The Arthur Conan Doyle Appreciation Society something of a Christmas show after all. "The show has a quite a populist aspect to it; it's very inclusive in its light comedy. However, it also engages with some big ideas –such as life, death and the meaning of it all – which make it feel quite seasonal."

The Arthur Conan Doyle Appreciation Society is at the Traverse Theatre, Edinburgh from December 4-22, www.traverse.co.uk