Micaela Diamond on Bonding with Travis Kelce on Grotesquerie as TV ‘Newbies’ and Their ‘Humble’ On-Set Moment (Exclusive)

The Broadway star, 25, tells PEOPLE it was “nice” to face her fears “alongside” Kelce on set of the Ryan Murphy show

Micaela Diamond and Travis Kelce may seem like an unlikely pair, but on the set of Grotesquerie, they were two peas in a pod.

Diamond, who plays Sister Megan Duval in Ryan Murphy’s latest thriller series, tells PEOPLE she was nervous walking on set as the FX show marks her “first big TV job” — but she and Kelce, 34, had that in common.

“We were just like the newbies on set, being sponges, trying to figure it out together,” she says. “And we’re both — he’s a mama’s boy, I’m a mama’s girl. I don’t know, there’s something really dear about him, and he was so game.”

Of the choice to cast him in the first place, Diamond, 25, says, “Ryan has a hold on the zeitgeist like no other.”

Diamond, who made a name for herself on Broadway and earned a Tony Award nomination last year for her role in Parade, remembers “one day on set, knowing we were both nervous, and then us just having to take a risk.”

“There’s part of it that’s like, you come to set and there’s a slight insecurity, but something that is beautiful about TV is you just have to be brave when they call action. And if you are nervous around that time, it’s okay. You can move through those feelings,” she says, adding of Kelce, “And it was nice to do that alongside him.”

She also recalls a particularly funny moment with the Kansas City Chiefs tight end one day on set that she shares as a means of demonstrating just how down-to-earth he is.

“One of the days on set, I was like, ‘What’s your last name?’ And he was like, ‘Oh, Kelce.’ And I was like, ‘No, your character’s. Obviously I know your last name.'”

She continues, “But it was such a beautiful, humble moment. He really thought I didn’t know his last name!”

To embody the twisted and cult-obsessed Sister Megan, Diamond says she dug into the darkness as a way to understand the creepy world Murphy had built.

“We walked onto set every day and there’s smoke and haze and there’s just a feeling on set that is creepy, to be honest. And I watched a bunch of cult documentaries and saw all these people who really believe that they’re doing the right thing… And I think that kind of drive and motivation — that ambition, that hunger — is what drove Sister Megan through the season.”

Her approach to playing the nun-slash-crime-obsessed journalist involved some creativity from day one at her screen test, during which she says she and Murphy “were really inspired by Squeaky Fromme.”

“I just did something completely different and bold, and that’s been the process [of the whole show], is I just tried to surprise myself,” she recalls. “I think in a Ryan Murphy world, there’s such room for a bold choice in this heightened stakes world and so you can kind of go for it.”

Grotesquerie airs Wednesdays at 10 p.m. ET/PT on FX and streams the next day on Hulu.