For the first three decades of the twentieth century, the Marchesa Casati astounded Europe: nude servants gilded in gold leaf attended her; bizarre wax mannequins sat as guests at her dining table; and she was infamous for her evening strolls, naked beneath her furs, parading cheetahs on diamond-studded leashes. Artists painted, sculpted, and photographed her; poets praised her strange beauty. Among them were Gabriele D'Annunzio, Man Ray, Jean Cocteau,...