I just got an advance copy of Joesph McBride's excellent new book "What Ever Happened To Orson Welles" and according to him, Dietrich turned the part of Zarah Valeska down. So Charles Higham got the major gist of his story wrong! According to Higham, Dietrich was shooting with Welles for some weeks, until the filming had to be interrupted so she could fly back to Paris to attent the funeral of Coco Chanel.
And apparently most of Higham's other info is also wrong. In the scene with Paul Mazursky the other director is Henry
Jaglom, not Bob Rafelson who was not present.
Anyway here's what Joseph McBride reports on the casting of Dietrich and Moreau:
*The role (of Juliette Riche, played by Susan Strasberg) was written for Jeanne Moreau, but Welles did not offer it to her, perhaps because of the lingering bad feelings over The Deep and because Oja also has such a prominent role in Other Side of the Wind. Bogdanovich's then wife, Polly Platt, OSOTW's production designer, made a brief stab at playing Riche before Mercedes McCambridge recommended Strasberg. Moreau had been considered for the Zarah Valeska role after Marlene Dietrich rejected it, not wanting to be photographed and certainly not in the cinema verite style. Lilli Palmer's scenes as Zarah were shot at her home in Spain, and Huston's matching shots in Arizona.