I watched How To Win Against History after a very long day at work, hardly any sleep and okay, maybe a couple of glasses of wine. Perhaps that’s why looking back at this fast, frenetic and frankly quite bonkers little musical brings with it a slightly surreal, dream-like feeling – although I suspect had I been wide awake and stone cold sober it wouldn’t be much different.

Seiriol Davies’ show tells the little-known story of Henry Cyril Paget, the 5th Marquis of Anglesey, a cross-dressing aristocrat from the 1800s who blew his family’s fortune on an unsuccessful theatrical career, and died at the young age of 29 in Monte Carlo of an unspecified “lung thing”. His outraged family then erased all trace of him from history.

This tragic story makes for a surprisingly hilarious musical, directed by Alex Swift and performed by a cast of three: writer and composer Seiriol Davies as Henry, musical director Dylan Townley as The Band, and Matthew Blake as Mr Alexander Keith (and everyone else). These three are a dream team, bouncing off each other brilliantly and working in perfect harmony throughout to bring this bizarre story to life.

In the hottest week of the year so far, all three performers nonetheless give it their absolute all. The tiny stage brims with energy and an infectious enthusiasm that never lets up; this show is full on fabulous from start to finish. And though it’s only an hour long, it packs in a lot – so much so, in fact, that it becomes hard to keep up. Fortunately, as instructed by the actors themselves, we have the option to go away and Google anything we might have missed, and I’m willing to bet a significant proportion of the audience did just that.

Davies’ Henry is an ethereal being, so delicate that at times his voice barely rises above a whisper. He’s instantly appealing despite his many flaws, full of wide-eyed innocence and seemingly blissfully unaware that he might not be winning at life (“apparently,” he explains at one point, appearing genuinely surprised, “I treated Lilian [his wife] rather badly”). He’s joined by loyal friend and supporter Mr Alexander Keith – just one of many roles played by the multitalented Matthew Blake (another is Lilian, in case you were wondering) – and his band, played by the eccentrically wonderful Dylan Townley on piano.

The show acknowledges and addresses its audience, encouraging participation (at one point we found ourselves singing in German) with a witty script that includes several current political and cultural references; the Daily Mail joke went down particularly well. In keeping with its central character, the humour occasionally steers very close to the line – a couple of jokes drew audible groans from the audience – but never slips across it completely, and remains good, (almost) clean fun. The final message seems a bit muddled: on the one hand, Henry feels that he’s “sort of won” by being himself and living life his way, despite opposition and indifference from those around him; on the other, he also counts it as a win to convince the Daily Mail that he’s “normal” and enjoys wearing tweed.

How To Win Against History is undoubtedly an odd show (even without a glass of wine in your hand) – but like its hero, it’s also fabulous and fierce. And it does things its own way, no matter what anyone thinks, with a cast of three who seem to be having easily as much fun as the audience. Riotous applause is a fitting end to such an entertaining and brilliantly performed show.