This article contains spoilers for the finale of HBO’s “The Penguin.”

Cristin Milioti gets self-conscious about sounding too “actor-y” in interviews, and explains that she usually cringes when she hears a performer referring to a character in the third person. But she can’t resist doing the same when talking about Sofia Gigante, née Falcone, her crime-boss villain in HBO’s “The Penguin.”

Milioti, speaking on Zoom from her home in New York, explains that she loves Sofia. “She’s my favorite character I’ve ever played.”

As such when Milioti found out how the limited series was going to end for Sofia, she was “genuinely devastated.”

In Sunday’s finale of “The Penguin,” Colin Farrell’s Oz Cobb, the gangster who gets called the title moniker, finally wins his power play over Sofia. He takes control of Gotham’s crime world and drives his former boss’ daughter to a remote area. For a beat, it seems like he’s going to whack her and leave her for dead. But instead, he orchestrates another punishment, delivering her to the cops and sending her back to Arkham, where she suffered for years after being accused of a series of murders she didn’t commit.

“What’s horrible is he discovers a fate worse than death for her,” Milioti explains.

Still, Milioti finds a glimmer of hope in Sofia’s ending: In prison, she gets a note from Selina Kyle, a.k.a. Catwoman. Matt Reeves’ 2022 movie “The Batman” establishes that Selina’s father is Carmine Falcone, making her Sofia’s half-sister. “There is this little spark of light at the end of the tunnel,” Milioti muses. “She could have family.” And Milioti has her own optimism driving her: She wants to play Sofia again at some point.

“It would be my wildest dream,” she says.

Playing Sofia was already something of a dream for Milioti, who became an ardent fan of the Batman universe after her dad took her to see “Batman Returns” when she was 7. “I remember being utterly terrified and couldn’t look away,” she says.

She immediately ordered a Catwoman costume, but the obsession didn’t stop there. She went to Blockbuster and rented Tim Burton’s 1989 “Batman,” which she watched over and over. When “Batman Forever” hit theaters in 1995, she made her dad take her six times. She even had pictures of Jim Carrey’s Riddler on her walls. For Milioti, the love of Batman comes from her sympathy for the characters.

“Batman, all his villains, they come from such a place of real pain,” she says. “They don’t have powers, they make all their own costumes, and it’s fabulous and can be campy and can be humorous but then is also gut-wrenching.”

Growing up in New Jersey, Milioti was always drawn to complicated female characters with violent tendencies. In addition to Michelle Pfeiffer’s Catwoman in “Batman Returns,” she was obsessed with Uma Thurman’s Bride in Quentin Tarantino’s “Kill Bill,” her favorite film.

“When I saw ‘Wonder Woman’ in theaters and all these little girls watching, it was very emotional, and I remember in that movie thinking, ‘Oh, ‘Kill Bill’ was my ‘Wonder Woman,’” she says.

“Batman, all his villains, they come from such a place of real pain,” Milioti says.

(Victoria Will / For The Times)

After dropping out of NYU, Milioti found that while she thrived in the New York theater scene, she wasn’t able to transform the way she wanted to in the television and film roles she was auditioning for: jobs like “girl found dead in a trunk” or “party guest at Blair Waldorf’s.” She never did book a job on “Gossip Girl.”

But fans of Milioti have long known her range. She’s had roles including the Czech songwriter in the Broadway musical “Once,” the titular “mother” on “How I Met Your Mother,” the writer with a “sexy baby” voice on an infamous episode of “30 Rock” and the wedding guest stuck in a time loop in the rom-com “Palm Springs.” In recent years, Milioti has been “incredibly grateful” that she’s gotten to work on projects she believes in — even if they haven’t found their audiences, like the short-lived Peacock series “The Resort” or Max’s surrealist dark comedy “Made for Love,” which has since been removed from the streaming platform. (She’s very frustrated about that development.)

Still, she knew she was waiting for something like “The Penguin.”

“A couple of months before this project came to me, I think this is just a part of getting older, I started to think about time more, how I want to spend my time,” she says. “I was always keeping an eye out and looking for a role like this. They’re just really hard to find.”

Usually, she adds, such roles also result in a metaphorical bloodbath involving dozens of actors. But “The Penguin” showrunner Lauren LeFranc and executive producers Craig Zobel and Reeves wanted to Zoom with her.

Even from the first script, Milioti could sense that there was a lot to mine from Sofia, despite not knowing her full backstory.

“There are incredible scenes where it’s like an iceberg, you’re just seeing the top, but there’s a lot roiling below,” she says.

Indeed, Sofia morphs multiple times over the course of the series. In a flashback episode, we see her as an innocent who learns about the murders of women committed by her father, Carmine (Mark Strong). She’s then framed for those killings. Later, she takes revenge on her entire clan — whom she considers complicit in keeping her committed at Arkham — by gassing them, strutting around her family’s mansion in a yellow gown and a gas mask. It’s a sequence that’s echoed in the finale when she burns the place down in a fabulous red coat, which was made for her by costume designer Helen Huang.

Over the course of the series, Sofia morphs multiple times. In the finale, as she’s ready to torch her family’s mansion, she struts in a red fur-trimmed coat.

(Macall Polay / HBO)

Milioti uses the word “collaborative” repeatedly to describe the process of working with LeFranc. She suspects the amount of input she had is unusual given how high-profile the series is.

“I don’t have any other franchise to compare it to because I haven’t been in anything like that, but I have to imagine that’s not the case,” she says. “I know what a blessing that was.”

With LeFranc and other department heads like hairstylist Brian Badie, Milioti figured out how Sofia would “bloom” throughout the episodes. As she asserts herself — and becomes more of a mob boss — Sofia gains confidence. Milioti pushed, for instance, for her hair to evolve from prim and pulled back into the sexy shag she has by the end. “It’s like a further sort of blossoming into an animal,” she explains.

I confess to Milioti that I was rooting for Sofia to beat Oz at his own game. It looks like she might when she bombs his warehouse. Alas, he gains the upper hand. As an actor, it’s her job to advocate for her characters, even the ones who do terrible things, but she admits she was cheering for Sofia too. Others on set were as well. “I even remember members of the crew feeling that way too,” she says. “‘But we wanted her to win.’”

Milioti pushed for her hair to evolve from prim and pulled back into the sexy shag she has by the end. “It’s like a further sort of blossoming into an animal.”

(Macall Polay/HBO)

Her final scene with Farrell was one of the last ones she shot, and it was an emotional day. “I could not have asked for a better partner to go to the depths of darkness with,” she says. “I think he also understood how devastating that was as well.”

There have already been rumors that Sofia might return for the sequel to “The Batman,” but Milioti says she hasn’t had any discussions with Reeves or LeFranc. “Everyone’s keeping it real locked down,” she says.

The character, however, means so much to Milioti that she was deeply stressed when she was initially on set. “I was like, ‘Oh my God, this is a needle in a haystack,’” she remembers. “And it certainly contributed to my absolutely crippling nerves for the first couple of months that we shot. I just was so aware that opportunities like this don’t come around a lot.”

When did the nerves dissipate for her?

“By the time I realized that there was so much of me in the can that if they were going to fire me, it was going to be a huge pain in the ass for them.”