As the show begins, an enormous reproduction of the titular Sports Illustrated swimsuit issue unravels behind the four players -- Jenn Harris, Jeffrey DeMunn, Bebe Neuwirth, and James Waterston -- but none of them react to it with feelings of lust, envy, or inadequacy. Instead, they deconstruct the angles of Ashley Montana's pose, the exotic nature of the text, and so on. They're so distraught by the sheer mystery of this busty, blond, scantily clad young thing that they begin to reconsider the daily routines they usually take for granted.
Over the next 90 minutes, the company careens through sketches about journalists rehearsing a list of clichés, politicians delivering meaningless speeches before fawning audiences, an old couple blithely describing their horrifying experiences at a senior citizens' home on Staten Island, etc. For all of the show's whimsy and social commentary, Rosenblatt -- a well-known magazine journalist, author, and essayist as well as a playwright -- has little new to say. Happily, though, he has the writing chops to make his often banal observations seem amusing and fresh.
The four cast members do well, with the best moments coming from the excellent DeMunn, who has the show's meatiest material. In one scene, his unnamed character grapples with being laid off from his job as a copy clerk; the combination of DeMunn's fine acting and Rosenblatt's writing make this story memorable.
Strangely, Bebe Neuwirth -- the cast's biggest celebrity -- isn't given much to do, but she handles it with copious charm. Jenn Harris, who was hilarious as Clarice in Silence! The Musical, milks every line she's given for all of its comic juice. And James Waterston is winning in his turns as various glib, plastic people. (In one up-to-date number, he plays Michael Brown, the disgraced former head of FEMA, singing a cabaret-style song in New Orleans.)
Jim Simpson's direction is tight and creative, and one of show's most effective aspects is the live accompaniment provided by Christopher Lipton. While the subtitle "Or: What Am I Doing Here?" doesn't refer to the Flea, the show does seem an odd choice for this avant-garde company. Ashley Montana often feels like it would be better suited for a place with a two-drink minimum.