When it comes to the theatre arts, Jenny Allen is a model of versatility.

Last winter, she played the storyteller in The Snow Queen, an adaptation of the Hans Christian Anderson tale performed at the Martha’s Vineyard Playhouse. Most of her castmates were children.

This winter, she’s in New York city playing disgraced financier Bernard Madoff’s secretary. Mr. Madoff was involved in one of the largest financial Ponzi schemes in history and was sentenced to a life term in prison in 2008.

The play is called Imagining Madoff and is being presented by the New Light Theater Project at 59E59 Theaters. Playwright Deb Margolin imagines Mr. Madoff in prison, talking to an unseen biographer, reminiscing about an all-night conversation he had a few months before his arrest with Solomon Galkin, who has naively invested his synagogue’s money in Madoff’s scheme.

In a series of flashbacks, it is revealed that Mr. Galkin is no ordinary investor — he’s a renowned poet and Talmudic scholar who also happens to be a Holocaust survivor. Mr. Galkin’s character is loosely based on Elie Wiesel, the author and Holocaust survivor whose foundation suffered terrible losses from Mr. Madoff’s swindle.

During their all-night conversation, Mr. Madoff recalls a sudden, overpowering impulse to confess to this “good man.” But he never did.

This could easily have remained a two-character play, but Ms. Margolin has added a third role — that of Madoff’s long-time secretary, played by Ms. Allen. (The character bears no resemblance to Mr. Madoff’s actual secretary; instead she is fashioned to fill a particular purpose in the play.)

Isolated on a platform high above the other characters, the secretary answers questions before an unseen examiner from the SEC, in preparation for her appearance before a grand jury. It’s a modest, self-effacing role, so much so that the playwright doesn’t even give her a name other than “a secretary.” But, as played with touching vulnerability by Ms. Allen, the role of this awkward, diffident woman ascends to a symbolic height.

If the role of Mr. Galkin (played by Jerry Bamman) represents a Father Confessor, then Ms. Allen’s secretary represents the innocents in Mr. Madoff’s world whose lives were destroyed by him. Alone on her perch, she looks terrified, answering her unheard interrogator in a timid voice trembling with fear and uncertainty.

One of the play’s most painful dimensions is the blind faith that both Mr. Galkin and the secretary invest in him.

“Why did I not see this man?” Mr. Galkin cries ultimately, as Mr. Madoff sit alone in the jail with a grim grin on his face (played by Jeremiah Kissel with unapologetic, Satanic relish).

Jerry Heymann skillfully directs the cast in this delicate balance of tragedy, harsh realism, and faint hope that a lone survivor might arise from the ashes of this devastating moral bonfire. At the epicenter, Ms. Allen plays a character with no name and yet one we won’t forget.

“We’re supposed to be hopeful for the secretary,” Ms. Allen said in an interview after a recent performance. “She may be suffering from a kind of PTSD. She’s a true innocent, and the playwright doesn’t want her to hate herself for not seeing what went on. The audience should leave with the hope that she will stop punishing herself.”

Ms. Allen is no stranger to the New York stage. She performed her monologue I Got Sick and Then I Got Better (about her struggle with cancer) at the New York Theater Workshop in 2009, directed by James Lapine.

Meanwhile, she maintains her role as literary manager of the Martha’s Vineyard Playhouse, where she also runs the monthly Jenny’s Drama Salon. A humorist and writer, her collection of humor pieces Would Everyone Please Stop? was recently a finalist for the Thurber Prize in 2018.

Imagining Madoff is presented by the New Light Theater Project, located at 59 East 59th street in New York. The play continues through March 23.