The former Gossip Girl star admits she was extremely nervous and Woody had to ask her to act out the part again because he couldn't hear her the first time.

"It was very intimidating...," she told Live! with Kelly on Wednesday (13Jul16). "You've never seen anything, you don't know anything about the role. You walk in, they say, 'Here's 10 pages, take your time', and about five minutes later they say, 'OK, have you had enough time?'

"(I said), 'Oh no, I take much more time than this'. They just bring you in the room and a couple of people are sitting there, Woody is sitting there and he says, 'Go ahead'. There are no cameras, nothing. And he said, 'OK, can you do it one more time, but just louder', because I think I was so terrified I was probably (whispering)... (It was) like a subtitled audition."

Blake found out she had landed the role of Veronica the next day.

"They let you see a script after that," she continued, "and they said, 'If you don't like the script, you don't have to do it', but he's (Woody) such a brilliant writer, how would you not like the script?"

Cafe Society is set in the 1930s and centres on a man caught up in a love triangle. Blake explains she really enjoyed working with Woody because he went to extra lengths to make sure the cast felt like they were taking a trip back in time.

"What's neat about him is he really creates that environment," she said. "He has people that specialise in that type of jazz music playing there on set. Normally movies come together after the fact, you don't know what you're shooting, you don't know what music is going to be there. There, the whole time we were like, 'We're in a Woody Allen movie'. You're pinching yourself."