Jessica Lange Perfectly Covers Lana Del Rey on 'AHS: Freak Show'

If you thought Jessica Lange's David Bowie cover was good, you ain't seen nothing yet!

On Wednesday night's American Horror Story: Freak Show episode, Lange, as carnival ringleader Elsa Mars, donned a white feather boa and sexy red lipstick for her performance of Lana Del Rey's haunting track "Gods and Monsters."

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The Golden Globe-winning actress certainly does the song justice and as she's crooning out the cryptic lyrics we see American Beauty and The Hunger Games actor Wes Bentley traipsing through the green mist as Edward Mordrake.

Lange's co-star Sarah Paulson, who's playing a two-headed woman on Freak Show, explained creator Ryan Murphy's vision behind the women's musical performances to Vanity Fair. "It's a nod to [director] Baz Luhrmann, who creates these worlds that are so hyper-real and hyper-fantasy-based all smushed into one thing." Luhrmann is perhaps best known for films such as The Great Gatsby, Moulin Rouge!, Romeo + Juliet and Australia.

Paulson further explained, "It lends itself nicely to the tone of the show. Ryan had some prerequisites in terms of how the songs were chosen. The songs all had to be chosen by people who identified themselves as freaks."

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ET caught up with the actresses at Monday's Elle's Women In Hollywood event and got the scoop on whether Lange would be returning for another season of AHS. "I don't know what American Horror Story would be without her," Paulson, 39, said. "I hope she stays. I wish I could say I have some insight, but I've got everything I could possibly cross -- I've got both heads crossed."

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How does Lange feel about returning? Her answer may surprise you.