Tina Fey is wearing a matching pajama set, perched on the edge of an oversized chair and discussing her tenure as a receptionist at the Evanston, Illinois, Ymca in the early ’90s. The men were gross, the commute from Chicago was long, but it paid for her Second City improv classes.

This intimate scene plays out onstage for 5,000 people. It’s the audience Q&a closer during a Detroit stop on Fey and Amy Poehler’s Restless Leg Tour, where one attendee even asks the women, without any context, whether she should quit her job. (The answer is yes.) The two finish each show like this. They tailored the 90-minute set to their preferred wardrobes and bedtimes as much as their devoted fans’ tastes. Fey and Poehler can make it back to their respective hotel rooms and into their real PJs by 10 o’clock.

Later, Fey tells me about how...