In 1917 no one had ever seen a woman like the Baroness Elsa von Freytag-Loringhoven. She regally stalked the streets of Greenwich Village wearing a bustle with a flashing taillight, a brassiere made from tomato cans, or a birdcage necklace; declaimed her poems to sailors in beer halls; and enthusiastically modeled in the nude for artists such as Man Ray and Marcel Duchamp, setting the city ablaze with her antics. Before today's outsized celebrities,...