The premise behind Zinnie Harris's elliptical, poetic new play is that the experience of migration into western Europe is reversed. Europe is in meltdown, the politicians are unavailable, money and jobs are scarce, there's nothing for it but to leave and hope for the best on a crowded boat.

Such a scenario may seem familiar to you if you live in Greece or Bulgaria and I suppose we in Britain feel at least we're buttressed by the economies of France and Germany on one side, America on the other. But things aren't so hot in Italy and Spain, and that's Harris's point. She's raising an imaginative alarm bell.

And she does so in the story of Maxine Peake's Dana, first seen having sex with the devil aka Jarron (Michael Shaeffer) who works for the United Nations after he's misconstrued her bar room demeanour as an invitation to the abyss. She's marked for life, tainted, but determined to pursue him and make a conference presentation of how customer service can affect the moment of money transfer.

Dana wants a research grant and sets out in the borrowed clothes of her sister Jasmine (Christine Bottomley) who accompanies her on the adventure. Vicky Featherstone's production is not exactly exciting, nor does it frame much in the way of good acting, but it does maintain this air of mystery and disillusionment as the sisters travel from Berlin to Athens and board a boat to Alexandria.

With Jarron leading her on, Dana is also tracked by an all-purpose librarian (Peter Forbes) whose shelves are packed with unhelpful tomes on demonology, philosophy and Milton; by the end, all he has to offer are "how to" pamphlets. Jasmine loses the baby we never knew about and comforts herself by admitting he might have died anyway. By the end, literature has imploded into a series of tips on how to go shopping, what to wear, what to eat and how to buy cheap theatre tickets.

This is not a literal narrative, but a Brechtian fable of social and political disintegration, without the vivacity of a play like Mother Courage. Dana is reduced to prostitution in a park where she is set upon by two other flesh-traders who were once a lawyer and a news-reader. As we know in Africa and Eastern Europe, education and professional status may not, in the end, save you from the devil of despair.

I think Featherstone misses a trick in over-obfuscating the play with a messy design by Chloe Lamford, murkily lit by Paule Constable, which starts with a pictorial domestic back-cloth and fragments into underused standing pieces including a bunch of mannequins and a bath. The overcrowded boat to Alexandria is represented by a tiddly ramp that is suddenly swarming with extras creating an unwanted (presumably) physical effect of bathos and hilarity. By then, the play needs no underlining, let alone undermining.

How to Hold Your Breath runs at the Royal Court until 21 March 2015.