“Cordelia” is about a London actress of that name rehearsing King Lear’s youngest daughter, his favorite, in Shakespeare’s play.

There’s something about Cordelia — the actress, not the Bard’s “banished” for most of “King Lear” character — that seems a bit off. And no, the “character” isn’t much of a clue as to what. Again, “banished” early in the play.

Our Cordelia (Antonia Campbell-Hughes of “Split” and “Paul, Apostle of Christ”) is skittish, paranoid, and gives us the impression she’s been this way for years. She has a recurring nightmare which takes her back to “The Tube.” Something happened on London’s subway. Anybody can see that.

She’s very dependent on her twin sister and roommate Caroline (Guess who? Again?), not so much trapped in their father’s old basement flat as not quite whole when she’s away from it.

“I just want to feel normal, no ‘reminders,'” Cordelia says after bumping into an old beau on the street.

You just need to “start living in the real world, with other people in it” is Caroline’s diagnosis.

Theater might be therapy for her, and when the film about her frazzled state begins, she’s still only an understudy. So maybe they’re humoring her.

But someone is calling her flat and hanging up. Something about that dream is freaking her out.

And all of a sudden, there’s this handsome cellist Frank (Johnny Flynn) who lives upstairs, and is so disarming and charming that she finds herself kind of swept along with him — taking The Tube again, learning he named his cello “Valerie” after his first “unrequited” love, meeting him in his regular pub, only to wonder what caused him to sneak out and call her, desperate for her to take Valerie and slip out the back door.

We’re left with two puzzles in director and co-writer Anthony Shergold’s paranoid thriller. What is Cordelia’s secret? And what is Frank’s deal, anyway?

Shergold (“Pierrepoint: The Last Hangman” and TV’s “Persuasion”) makes the puzzles rather obvious before turning them in on themselves and making us second guess our first guesses.

Frank’s a trifle too charming and forward. Cordelia’s a bit too obviously unstable. Or is he? Or she?

I found “Cordelia” an intriguing, immersive mystery that left me with more questions — not about what’s really going on, but about more mundane third act specifics — than it has answers to.

Campbell-Hughes channels Charlotte Gainsbourg in this performance, taking on a sort of resting-wounded-face that begs the question of what’s going on in her head and how real and straightforward this handsome cellist could be, because she’s depressing to be around.

And Shergold makes great use of that in a thriller that doesn’t really take on classic “thriller” elements until late in the game, even as it keeps asking more questions than it answers.

Rating: unrated, violence, nudity, profanity

Cast: Antonia Campbell-Hughes, Johnny Flynn, Joel Fry and Michael Gambon

Credits: Directed by Adrian Shergold, scripted by Antonia Campbell-Hughes and Adrian Shergold. A Screen Media release.

Running time: 1:31