The "Wrecking Ball" singer, 23, was seen on set recently sporting the long locks, a complete 180 from her more recent shorn 'do, as well as green army fatigues and a poncho, fringed with many colors.
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"I had claimed 2016 to be my year of 'chillin the f--k out' but next to my bed for a few years now has been this portrait of W.A.," she added. "I was looking into his eyes when I got the call to be apart of the cast and work alongside the bad a$$ [co-star] Elaine May & da dude himself!"
Allen's six-episode half-hour series, reportedly set in the 1960s, is filming in New York state and will reportedly debut on Amazon later this year.
Alongside Cyrus and May, the cast includes Rachel Brosnahan and John Magaro.
News of the collaboration between Amazon and the Academy Award-winning writer/director, 80, broke in January 2015.