A suicidal hit man. A battered wife on the run, trying to make a new life for herself in a new town. A probing police detective with amorous intentions. A suicide by hanging. A Christmas tree. A Chicago where every day is gray.

No question that the romantic thriller The Merry Gentleman, which marks Michael Keaton’s directorial debut, is something of a downer, wrapped as it is in melancholy. But it also works most of the time in its tale of two people who, finding themselves alone in a big city, try to connect to each other against all odds.

Keaton, a high-energy actor in films ranging from Mr. Mom to Batman, goes against type in The Merry Gentleman, both with his on-screen character, Frank Logan, and in his low-key direction. It fits the mood of Ron Lazzeretti’s script, which revolves around people who keep making the wrong choices but plunge ahead anyway in hopes of finally finding something better.

Scottish actress Kelly Macdonald plays runaway wife Katie Frazier, who flees to Chicago, where she seems immediately to have a nice job as a receptionist for an architectural firm and a very big apartment in an old brownstone — on a receptionist’s salary! Sure. Keaton’s Frank is a remorseful hit man who, by day, is a tailor who sews custom-made suits. Sure.

When Katie spots Frank on a ledge atop a nearby building after one of his assassinations, she screams, fearing he’s about to jump. Later he turns up at her apartment building just in time to rescue her from under the enormous Christmas tree she has brought home. He seems the Good Samaritan, but actually he has followed Katie home, worried that she might recognize him as the man on the ledge. Instead, he’s fascinated by her innocence and her lilting accent.

But Frank isn’t the only one who is taken with Katie. Police detective Dave Murcheson (Tom Bastounes), who arrives to investigate the assassination in Katie’s building, also hopes to get closer to her.

The Merry Gentleman (the title comes from the Christmas carol) is an offbeat romantic triangle — rectangle, if you count Katie’s husband who you know will turn up sooner or later — that builds to a point where you’re not certain in which corner it could wind up. Katie and Frank and, to some extent, Dave, are three souls who are alone in the world and looking to get out of the unhappy situations they find themselves in. With Katie and Frank trying to hide their pasts from each other, there’s a lot of careful walking on eggs. Their situation seems impossible, and yet Macdonald and Keaton share such strong chemistry that one hopes.

Keaton has staged two very solid scenes between Dave and Katie, as well, when, in romantic mode, he takes her to dinner. But, being a cop, he pries a little too hard, giving these moments an awkward tone and more than a little edge of creepiness, as though Dave were stalking Katie, which he sort of is. Certainly he has been putting two and two together, trying to fit together the misshapen pieces of the puzzle.

The character of Katie’s long-absent husband (Bobby Cannavale) is badly written, just this side of ridiculous, although his inevitable return gives Macdonald a chance to register terrified disbelief. You may feel the same.

Don’t expect a traditional ending. That fits in with the overall tone of The Merry Gentleman, even if much of it takes place at Christmastime and God plays as much of a role as do the flesh-and-blood characters.

***1/2The Merry Gentleman

Starring: Michael Keaton, Kelly Macdonald, Tom Bastounes, Bobby Cannavale.

Rated: R, contains violence, profanity, adult themes.

mjanuson@projo.com