The Thor star plays a tattooed Jane Doe in U.S. TV series, about an amnesiac piecing together her life after she's discovered in a bag abandoned by the FBI.

She was recently with her stuntwoman and show producers in a hotel room near the site of the 9/11 terrorist attacks, but the sight of the two females and their weapons raised suspicions and police were called to the scene to investigate.

She says, "I was in this hotel room - don't ask why, I don't know why they (crewmembers) decided to go into this hotel room that was facing the Freedom Tower - but they did, and they left the drapes open and I had like, a (prop) shotgun, a M4, handguns and all kinds of stuff... So then I was going in and out and... the construction workers saw (my stuntwoman and I) and they called the police."

"So we're sitting there and all of a sudden it's bang, bang, bang (on the door)," she continues. "They're like, 'Open the door!' and I was changing into my diving gear, so I was naked in the bathroom, and (my stuntwoman) is like, 'We gotta get outta here.' I was like, 'What?' And then they're yelling at me and I'm like, 'I'm not dressed,' and they're like, 'Get out of the bathroom...!' They're like, 'What agency are you with?' And I'm like, 'WME,' because that's my acting agency. I didn't know what they were talking about... and (my stuntwoman) is like, 'Shut up, you idiot, they're not talking about that.'"

Luckily, the star and her associates were allowed to leave freely after proving they weren't really planning an attack.

She adds, "So then (we) showed (our filming) credentials and they asked to see a trailer for the show."