Rachel Zegler left “Evita” mid-performance on Thursday due to a mystery illness and did not return. The actress’s departure was announced during intermission, per a People reporter who was present.

During the July 24 performance of Andrew Lloyd Webber ’s Evita at the London Palladium, the 24-year-old—who stars as the late Eva Perón in the musical—made a sudden exit from the stage without returni...