The comedian was pictured on the stage wearing a long pink coat and black boots, looking out at empty seats.
A spokesperson for the De La Warr Pavilion said they could not release any details about the filming at present.
They would only say it was an “exciting new project” for the BBC.
Izzard, who is patron of the DLWP, grew up in Bexhill, and went to school in Eastbourne at Bede’s and Eastbourne College, used to work in the self-service cafe at the venue when she was a youngster in the 1970s.
She is in the new Netflix thriller Stay Close, written by Harlan Coben who also penned the 2012 novel of the same name.
The eight-part drama also stars Cush Jumbo, James Nesbitt and Richard Armitage, and tells the story of a woman whose life is turned on its head when a figure from her past appears with some shocking news.