The beautiful Hollywood actress plays Lily in the film, a lady who is kept in a glass box as part of a carnival attraction.
Megan admits the role has been one of her favourites of her career so far, and says she especially appreciated the vulnerable nature of her character.
"I identified with the character a lot. She's broken, damaged and exposed - I loved Lily and I wanted to be her forever," the star told Total Film magazine.
The movie's director Mitch Glazer also saw similarities between Megan and her character. In fact, the parallels between their lives were one of the main reasons the actress was cast in the role.
"When I had lunch with her she was so vulnerable and mysterious and as I talked with her about the role of a woman who people pay to watch in a glass box and about the objectification of women, I looked through the window and there’s a wall of paparazzi photographing her as we're eating and I thought, if this girl doesn’t understand this character – nobody will, because that’s really her life," Mitch explained.
The edgy fairytale romance also stars Mickey Rourke and Bill Murray, and has received fantastic reviews.
