The episode called "Valentine's Day" will air later this season, the network said.
Sevigny recently completed a cameo appearance in the Linda Lovelace bio-picture "Lovelace," directed by Ron Epstein. She also co-starred on HBO's "Big Love," which wrapped up its five-season run last year. Her other film credits include "Mr. Nice," "Barry Munday," "My Son, My Son, What Have Ye Done," "The Killing Room," "Zodiac," "Shattered Glass," "Boys Don't Cry" and "Kids."
In addition to acting in films and television, Sevigny also works as a fashion designer.