Secret Cinema founder Fabien Riggall is venturing into the Middle East, starting with Saudi Arabia where he has set up a lavish show titled “Azira: The Immersive Experience.”

The piece is commissioned by the Royal Commission for AlUla, the swathe of northwest Saudi comprising a lush oasis and vast sandstone canyons.

Following the 2022 sale of Secret Cinema, which produced more than 60 large-scale immersive productions — including ones inspired by “Blade Runner,” “Star Wars” and “Stranger Things,” in which audiences were encouraged to dress up like the characters from the movies or shows — Riggall is now operating a new company called Lost.

Lost is the outfit that produced “Azira,” a 90-minute immersive theater experience that combines an original soundtrack, an original story and a group of modern dance performers and actors. The narrative is centered around a female action hero, the daughter of an archeologist who is seeking the secrets of a...