The actress will play the burlesque legend in a new project revolving around the life of composer Benjamin Britten, who was one of Lee's closest friends.
She tells BANG Showbiz, "I'm doing a play in the West End playing Gypsy Rose Lee... She sings, she strips and she has proper amazing lines. I can't wait."
The play will mark Frost's first role since she completed her masters degree in film studies at Staffordshire University in England.
It is unclear whether she'll actually bare all during the production.