Spent a little time yesterday listening to a few older albums by "of Montreal" and there are a few solid ones. "Coquelicot Asleep in the Poppies", "The Gay Parade", "Satanic Panic in the Attic", and "Hissing Fauna, Are You The Destroyer?" all have very strong concept and through-line, and could be made into musicals with a bit of editing. The last of which could really work in a Hedwig style, with a Georgie Fruit transformation in the middle.
My go-to answer for this has always been Hadestown, but that's been happening already.