The world is enraptured by female suffering. A woman with substance abuse issues, mental illness or unhealthy relationships with men is the subject of drama, entertainment and intrigue. People gather to see her on screen in “Euphoria,” “Fleabag” and “Game of Thrones.” And she’s not necessarily fictional, either — books, music and movies are sensationalized by their creator’s borderline martyred reputation, as with Sylvia Plath, Amy Winehouse, and Marilyn Monroe. 

Warren Haynes of the Allman Brothers Band and Barry Goudreau of the band Boston are picking the strings of their guitars fluidly and skillfully as Megadeth’s bassist, David Ellefson strums the familiar...