Susanna Malkki is one of the most exciting and in-demand conductors of her generation. So it was discouraging, when she returned to the New York Philharmonic’s podium on Friday night — after a belated debut in 2015 and a second engagement last year — to see so many empty seats in David Geffen Hall.

Maybe Philharmonic audiences are still finding out about this Finnish conductor. And the program she chose may have looked a little curious on paper: Haydn’s Symphony No. 22 in E flat; Unsuk Chin’s “Su,” a concerto for the sheng (a Chinese mouth organ) and orchestra; and Richard Strauss’s “Also Sprach Zarathustra.”

But she knew what she was doing: These works share a playful thematic thread and some intriguing musical resonances. Haydn’s refined symphony earned the name “Philosopher” because of its unconventional first movement, a stately Adagio. Strauss’s epic tone poem was inspired by Nietzsche’s philosophical novel of the same name. Ms. Chin’s “Su,” composed in 2009, might seem to have been dropped in the middle. But the composer has written that her music is a reflection of her dreams, an attempt to render into sound visions of light and magnificence. So it, too, is abstract and philosophical.