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A working title for this film was European Plan. According to onscreen credits, the 1938 French picture, J'tais une Aventurire, on which I Was an Adventuress was based, was produced by Gregor Rabinovitsch. The Twentieth Century-Fox Produced Scripts Collection at the UCLA Theater Arts Library credits Jane Hinton Smith with translating the film into English. According to a March 1939 Hollywood Reporter news item, at the time that Twentieth Century-Fox acquired the rights to remake the French film, Myrna Loy and Warner Baxter were announced as the stars. July 1939 Hollywood Reporter news items indicate that the film, which was then slated as a "top budget picture" starring Marlene Dietrich, was moved over to the Sol Wurtzel unit and set for production as a "programmer." In October 1939, a Hollywood Reporter news item noted that actress Madeleine Carroll was set to play the female lead following the studio's failure to negotiate a deal with Dietrich for the part.
Although a December 9, 1939 Hollywood Reporter production chart indicates that production on the film began on 8 Dec, under the direction of Ricardo Cortez, subsequent production charts and news items suggest that filming did not begin until 15 or 18 Dec. The inclusion of film footage that May have been directed by Cortez in the released film has not been determined. Hollywood Reporter production charts list actors Albert Conti, George Humbert and Anna Demetrio in the cast, but their appearance in the released film has not been confirmed. According to Hollywood Reporter pre-release news items, James Havens directed the second unit, which was set for filming on location in Orange County, CA, and associate producer Nunnally Johnson was to participate in preparing the script. Hollywood Reporter news items also indicate that star Vera Zorina was forced to suspend her work on the film at least twice during production: In late Dec, Zorina was reported to have collapsed on the set following her recuperation from a bout with influenza, which, along with "an approaching nervous breakdown," was attributed to the star's fourteen hour-a-day shooting schedule; and in February 1940, Zorina was ordered to stop rehearsals for the ballet sequence when she developed an inflammation of the ankles.
Studio publicity records relate the following information: director Gregory Ratoff insisted on an all-European cast for this film, and banned all discussion of the war in Europe or international politics on the set in order to prevent fighting among cast members. To demonstrate how he wanted each scene performed, Ratoff reportedly acted out every scene in the film. Ratoff also insisted that the jewels in the film be real, so he borrowed jewels (valued at $300,000) from a jewelry store and hired studio police and private guards to keep watch over them during production. Vera Zorina, whose real name was Brigita Hartwig, was married to dance director George Balanchine. The twelve minute ballet sequence of "Swan Lake" was the longest ballet scene to appear in any film to date. For the scene, a $15,000 all-glass set, the first of its kind, was built using 40,000 square feet of 1/4 inch plate glass. Jack Lorenz, a studio electrician, fell to his death from a thirty-foot high catwalk while lighting a scene for the film.