Mentioning Bjork up there reminds me of a fil recommendation
which should go in here: Dancer In The Dark which is a movie and,
ostensibly a musical as well.

The thing I like to much about Dancer In The Dark is casting.
Bjork as the ingenue and ok with that, but Catherine Deneuve (sp?)
as a factory worker in a ... babushka or headscarf as they wear
in Germany East and West... was genius. Catherien Deneuve, aside
from all the jokes on the old tonight show starred as the ingenue in The Umbrellas of Cherbourg and The Young Girls of Rochefort... both written by Micchelle LeGrand as jazz operas. Gene Kelly is featured in the second film.

So to see Deneuve gracefully go into what is a senior
character said so much about the art and style of the actress
herself.

And in world music, to your list I would add Ofra Haza,
a Yemeni vocalist who is a pop star in the manner of Bjork, I think
over in the Middleeast. I was surprised to hear the Ofra Haza vocals
in a period French film called "Queen Margot." btw: Queen Margot
is a lot more than a period romance, so don't let the box art
fool you.