The title’s first word should probably be “His”. Nicolas Winding Refn has returned to Cannes with a bizarre new fantasia moodscape, a midnight movie of fear and dreamy disquiet, meaning … what, exactly? The setting of the film – a twist on the 60s pulp shocker of the same title by Norman J Warren – morphs and shapeshifts from place to place, with the antilogical procedure of a dream, from a supposedly real outer world to the inner space of hallucination and memory. It starts in a giant, empty hotel (whose colossal Stygian corridors are not unlike those in Refn’s Only God Forgives) in the middle of a digitally rendered dystopian city, wreathed in the kind of mist that tends to conceal a serial killer, and people here are frightened of someone called the “Leather Man”.

We move to the fictional action of a movie the hotel’s inhabitants are (possibly) planning to make, or perhaps to the world of their fears and imaginings, their ideas occasioned by this ostensible realist premise. And then we move to a situation from the past in US-occupied postwar Japan, where a haunted GI is looking for his daughter. This is a story populated by quasi-Lynchian characters and gargoyles with strange nicknames – the whole imagined landscape, lit by Refn’s throbbingly neon purples, reds and blues, looks like a nightclub in hell. And yet it is less violent and explicit than his earlier adventures. The pace is doomy, sepulchral and slow; like Refn’s TV series Too Old to Die Young, it moves at the pace of a zombie which has been shot but still keeps on shuffling forward. Or perhaps it is more like that of a sleepwalker who walks and talks slowly, but has a clearer idea of what is happening than those who are, in a more banal sense, awake.

Sophie Thatcher plays Elle, a young woman who shows up at this hotel, resenting the supercilious presence there of another woman called Hunter (Kristine Froseth). Elle has a tense encounter with her stepmother, Dominique (Havana Rose Liu), who is having an affair with clubowner Nico (Diego Calva); she also has an upsetting conversation with her father or father-figure named Johnny Thunders, played by a dissolute-looking Dougray Scott, positively gurning with sensual pleasure. And Charles Melton, his face a mask of grimness, plays the American soldier searching for his missing daughter, a historical set piece emerging from the mist.

All of this is not, in fact, leading to the shocking bloodbath that those who have followed Refn’s movies may come to expect. The tide of sexualised violence and pornified fear has receded, leaving behind what I think is a terrible, unspoken sadness; that is what remains once the debt to pleasure or addiction has been paid. Her Private Hell resists interpretation, like so many of Refn’s recent films, but executes a slow dervish swirl of hypnotic strangeness.