Sigourney Weaver stated in a later interview that Director Roman Polanski would sometimes randomly fire a gun in order to get the most genuine expressions of fear from the cast.
The South American country in which the movie is set is and its former regime dictatorship are unnamed. It has been alluded to that this movie's source play (and hence this filmed adaptation) sets this unnamed country as unofficially really being Chile. This would surely be not surprising since the source playwright Ariel Dorfman is Chilean, and the country had had a long period of dictatorship. Another hint is a visible poster in Paulina's house that reads "Neruda," after the famous Chilean poet Pablo Neruda, who died a few days after the coup, but the final hint that leaves no doubt is when Paulina is preparing to run away, she take some clothing and a wad of cash, and if you look closely you can notice that the banknotes are Chilean pesos, you can even read "Banco central de Chile" (Central Bank of Chile) on them.
The original Broadway production of "Death and the Maiden" by Ariel Dorfman opened at the Brooks Atkinson Theater in New York City on March 17, 1992, after having 33 previews, which started on February 18, about a month earlier. The play ran there for 159 performances until it closed on August 2 of the same year. It was directed by Mike Nichols and starred Gene Hackman, and Richard Dreyfuss and Glenn Close in a Tony Award-winning performance. None of these four cast and crew from the Broadway stage production worked on this movie adaptation.
This movie was shot in chronological order, except for the last scene, which takes place at dawn. Director Roman Polanski chose to shoot at sunset because lighting for the set was better, so he shot the sequence backwards (last scene when the sun comes up, was shot first as the sun was actually going down, et cetera).