“I see him around town, and he’s always so nice to me,” she said of Jon Hamm, who starred as Don. “That man can really light up a room.”

In a recent call from Vancouver, where she lives while shooting “Legends,” Ms. Lotz talked about how, this time around, the Canary just wants to have fun. These are edited excerpts from the conversation.

Q. So, the Canary is pretty tough. Do you perform all your stunts?

A. I’m a very physical person. I’ve studied martial arts, tricking — which is big, flashy moves with people flipping around — and I used to do parkour. So I do whatever I can that’s not too dangerous, like most of the fighting. But if my character has to run and jump through a glass window, where things can get scratched up, I’m like, “Yeah, you get that, Stunt Double, thank you!”

You started out as a dancer.

I started dancing professionally at 17, and I moved to Los Angeles the second I graduated. Then I got an opportunity to be in a girl group [Soccx], like the Spice Girls, and I moved to Berlin. When I came back, I started dancing with Lady Gaga and touring with Avril Lavigne. But soon I lost my creative passion and knew it wasn’t for me.

What was Lady Gaga like?

I remember getting to the set [of “Paparazzi”] at 4:30 or 5 a.m., and I would show up like a bum, a homeless person. And she would step out of the car, wearing this underwear contraption and full tights and heels, already in character.