What is it about certain scammers that beguiles so? There are plenty of people who commit fraud, tell lies and manipulate others for their own gain, but not all capture the public imagination. Those who do become something strange in our collective consciousness: not heroes, not to be emulated, but not villains either. They occupy a space somewhere between “I can’t believe someone did that” and “Could I do that?”

The likes of Anna Delvey—the imprisoned Russian faux-socialite who scammed New York elites and hotels to the tune of $275,000—are capable of charming us partly because their victims are not ordinary people. Nobody finds the fraudster conning grandmothers out of pensions alluring or seductive. But we can allow ourselves to indulge in salacious enjoyment of Delvey�...