"She's the result of a one-night-stand her dad had with a stripper at Stringfellows," Dillon, 34, told UPI in a recent Zoom interview.
"She's hated by Maeve, but it's also made her get a thick skin. She's a hustler. She's driven by power. She's driven by money, and she will get what she wants," the actress explained. "It's been such a joy to get inside of her head. She really is a boss in every single aspect. She's not afraid to tell people about themselves."
This week's episode shows Seraphina returning home to her family in the Cotswalds after she was kidnapped by a rival gang alongside her half-brother Brendan (Daniel Betts) while on a "business trip" in Amsterdam.
Although shaken up by her harrowing misadventure abroad -- Brendan is dismembered in front of Seraphina as his horrified parents watched via live-stream -- Seraphina finds comfort in the arms of her loving father and, surprisingly, the manipulative Maeve.
"It really is tender. It's actually a beautiful relationship," Dhillon said of Seraphina and Conrad's connection.
"Pierce is amazing as a human, so what a joy it is to be able to play his daughter on screen," she added. "Everyone is so scared of Conrad in the show, apart from Seraphina. Seraphina has no fear of her father. She knows that she's good and it sort of makes her feel invincible."
Dhillon said this job was a cathartic experience since it allowed her to explore feelings she has about her own family.
"I didn't grow up with a dad myself," she explained. "So, actually, it sort of weirdly healed a part of me, receiving a father's love through a character, which is beautiful how art can do that."
Before she even tried out for the role, Dhillon said she went down a rabbit hole, watching gangster movies and TV shows.
"I was famously one of those people all my life who never watched any gangster film ever and then suddenly I was watching Scarface and Goodfellas and The Godfather and Snatch, Sexy Beast, so by the time the audition came, weirdly, I was like, 'That's interesting, timely,'" she recalled.