The last time I saw Lucy McCormick she was being crowdsurfed across the room with her breasts falling out. Minutes earlier, she'd given birth to the baby Jesus, a finger (not her own) had been repeatedly inserted into her vagina, and a large purple dildo had doubled as a microphone. So when I arrange to meet McCormick, three years after watching her brilliantly unclassifiable Fringe show, Triple Threat, I'm slightly worried I won't recognise her with her clothes on.

But then again I'm meeting Lucy, not Lucy. Sitting in the sunshine outside London's Barbican Centre, hearing her talk in the third person about what 'Lucy' does on stage, it becomes clear there's more than one of them. 'I think I'm about ten different people,' she says with a laugh. 'But yes, I would definitely describe "Lucy" as a persona; she's the best and worst bits of me. And I say ten because I feel like I'm stripping back that persona bit by bit and trying out different versions of myself.'

When she's on stage, McCormick feels a sense of confidence and self-assurance. 'It's very weird,' she insists. 'I actually have so many body hang-ups, but when I'm on stage I just don't care anymore. But then, you know, it is also me on stage: I think I'm just happy to play fast and loose with my own life and my own flaws. So it's sort of a send-up of myself and an acknowledgement of how awful I am … and how brilliant.'

That last comment is accompanied by a big laugh and is by no means an indicator of conceit. The on-stage Lucy may come across as a limelight-loving, self-obsessed narcissist, but there was a moment of vulnerability in Triple Threat that proves she's just as insecure as the rest of us. 'Ego and arrogance act as a front for vulnerability,' says McCormick. 'And it's important to find those moments in a show where it feels like something is opened up or there's a crack into something real, something much more vulnerable. Without that, I think people would just have too much fun; there needs to be that moment when you go "oh, actually, something's not OK here". That side of the performance is so important.'

Having tackled religion (Triple Threat refers not only to its star's talent for acting, singing and dancing, but to the Holy Trinity), McCormick has now turned her attention to women in history, drawn from literature, scripture and real life. Turn up to her new show, Post Popular, and you'll find McCormick exploring, in her own inimitable style, the lives of Mary Queen of Scots, Eve, Florence Nightingale and Lady Macbeth among others.

Eve, says McCormick, is too obvious to play nude (instead she's got a flesh-coloured suit with genitals drawn on) but it seems likely that, once again, she'll be using her body as a prop. 'For me, it's about claiming agency over my body and about choice,' she says. 'If you look at every single moment in Triple Threat that contains nudity or some kind of explicit bodily action, it's always me that's controlling it and making the decisions. It would never be that somebody is doing something to me. So it's a way of taking in all this imagery from pop culture and trying to claim my own agency over it or subvert it in some way.'

Which is why, for those of us who love a good song and dance routine, but like a bit more artistic and political nourishment than a standard delivery would provide, McCormick is the perfect meal. When she belts out a number, or moves in tight unison with Triple Threat's dancing twosome, Samir Kennedy and Ted Rodgers (back by popular demand for this year's show), McCormick lights up the room. But then takes us somewhere wholly unexpected with her dark sense of humour.

'I've had quite a varied background, in terms of going to drama school and training really traditionally,' she says, 'but then becoming interested in quite experimental performance art. Playing lots of cabarets and nightclubs, you've really got to be quite visual and grab people by the balls: they're drunk, it's dark, it's loud and they want to be entertained. So for me, a show absolutely has to be fun, and I love dance routines. But I also want it to be interesting and three dimensional. I want the audience to be entertained and amused, but then feel like they've been challenged or invited to question issues. I think with the work I make there are a lot of questions, as opposed to a lot of answers.'

Lucy McCormick: Post Popular, Pleasance Courtyard, Pleasance, 3–25 Aug (not 7, 12, 19), 8pm, £12–£14 (£10–£12); Previews 31 Jul–2 Aug, £7.