The story is set in turn-of-the-century London and many of the actors and writers are from the U.K. But “Penny Dreadful” has been a multinational show helped by the U.K.’s membership in the European Union — a relationship the British people have just voted to sever. “Our show was shot in Ireland; our first director, David Bayona, is a Spaniard; our actress, Eva Green, is French; the costume designer, Gabriella Pesucci, is Italian,” said London-based “Penny Dreadful” producer Pippa Harris. Between 2007 and 2015, British filmmakers collected more than $145 million in financing from the program. That money, intended to encourage the spread of European film and other cultural industries, will no longer be available to them. “I’m depressed, grieving,” said Jeremy Thomas, the British producer of European co-productions