Jesse Plemons has a plea: Pause Netflix and go see “Bugonia” in the theater. The film, in which he plays a conspiracy theorist who kidnaps and tortures Emma Stone’s pharma CEO, believing her to be an alien, is the kind that might seem small in scope. On a certain level, it’s three people — the possibly insane mastermind Teddy (Plemons), his cousin and accomplice Don (Aidan Delbis) and their victim Michelle Fuller (Stone) — in a basement. And yet, in the hands of filmmaker Yorgos it...