To those who know Phyllida Lloyd only as the director of “Mamma Mia!,” her latest venture must seem surprising. But the Broadway transfer of Schiller’s thriller “Mary Stuart,” starring Janet McTeer and Harriet Walter, is much more typical of her work. Before Abba changed her fortunes, Lloyd was a hugely successful helmer of everything except musicals. With Shakespeare at the National Theater, Russian comedies at the Royal Shakespeare Company and new plays at the Royal Court, Lloyd’s hallmark is a flair for finding unexpected wit in high drama. “Mary Stuart” opens April 19 at the Broadhurst Theater in Gotham.