The "Midnight Sky" star was spotted filming scenes with Dua at the beginning of the week and, returning to set on Thursday evening in Brooklyn, New York, Miley was seen with false blood spattered from the chin down.
She donned a smouldering ensemble for the shoot, including a tight black corset and cinched over a sleeveless white top, along with fashionably torn-up tights. The 27-year-old completed the look with a stack of bracelets and necklaces, a pair of sky-high black leather stilettos and a top hat with a curved brim.
While little is known about the project, MailOnline reported a "grunge chic" set had been put up, and a female extra in white cowgirl boots was spotted performing in front of the set-up, which featured graffiti and an eerie portrait of a couple.
Miley recently shared on the New Zealand podcast, "the Dom, Meg And Randell Catchup", that Dua and Billy Idol are both featured on her next album, which is expected to be released soon.
Meanwhile, Dua said in a different interview, "We aren't sure if the song is the one we want to release so it's in waiting, and maybe we'll do something different." She added, "There is a song but we don't know if it's the song."