Anastasia is a musical that tells the story of Anya, an amnesiac orphan in Russia who believes she may be the Grand Duchess Anastasia Nikolaevna, a lost survivor of the Romanov family's execution during the Russian Revolution. With the help of two con men, Dimitry and Vlad, she travels to Paris to meet her grandmother, the Dowager Empress, while also fleeing a ruthless Soviet officer. The musical explores themes of identity, family, love, and self-discovery as Anya attempts to uncover the mystery of her past and find her place in the world.

Countess Lily serves as a loyal and witty lady-in-waiting to the Dowager Empress. She is known for her dual personality: dutiful and resigned when serving the Empress, but lively and fun-loving when she "lets loose" at the Neva club. In a romantic subplot, she also has a history with the character Vlad, and their past romance is rekindled in the show.