C.Z. Guest, who’s portrayed by Chloë Sevigny in the TV series “Feud: Capote Vs. The Swans,” was a pillar of society, a fashion icon, a muse to artists and a confidante to movers and shakers.

C.Z. Guest once said, “I’m not ashamed of the way I live.” Guest—who is portrayed by Chloë Sevigny in Feud: Capote vs The Swans—was well-known for her lavish lifestyle. In an interview ...