The actor, best known for playing Cersei Lannister in HBO's hit "Game of Thrones", plays Wendy in the film, a British immigration officer deciding the fate of an asylum seeker.
"What I hope, personally, is we change 10 minds, or people reconsider how they feel about someone who has lost everything. Or maybe it will grow a bit more compassion, understanding, curiosity or bravery," Headey told Variety.
The film's script has been penned by Helen Kingston who drew material from real-life stories after she, producer Luke Healy and director Anthony Woodley spent time volunteering in Calais, France, a refugee hotspot.
"I think it's a very quiet, strong bit of cinema and it's really honest about what's happening and how we are all responsible for it," she added.
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