I think the whole point of the character is to NOT be able to find the actor in them. That's why all the Emcee's had to have black hair, black nail polish, glitter nipples, etc. Regardless of how the show was marketed, the show tried to suspend your reality, so it IS the Emcee up there, not Raul or Adam or Doogie Houser.
Like a firework unexploded
Wanting life but never
knowing how