and had a strict no-Boston-accents rule while making .
"We did 'standard American.' That is all we were allowed," Knightley, 37, told PEOPLE at the film's New York City premiere at the Museum of Modern Art on Tuesday. "Luckily, it's written in a Boston rhythm so you get the idea of Boston, but there is no Boston accent for me."
The British actress and costar Coon, raised in Ohio, admit they were disappointed not being able to perfect their Boston speaking patterns.
"Matt Ruskin, our writer/director, is from Boston and very insistent that anybody who is not from Boston was not going to be doing an accent, because he claims he's from Boston and he doesn't have an accent. But he does," Coon, 42, jokes. "The movie is really written in the rhythms of Boston accents, so it was very hard to resist. So I was doing a kind of general American 1960s-something. But I was really looking forward to the Boston accent."
Adds Knightley, with a laugh, "All of the actors were very disappointed. We all tried to talk Matt Ruskin, our lovely writer/director, into letting us do the Boston accent, and he was like, 'Absolutely not.' So we failed, but I kind of hear him, because as I found out, people are very opinionated about that accent. There's a lot around it. So he was just like, 'We're not touching that.' "
The two leads explain they were drawn to this take on since the focus is on the journalists who dared to uncover the case. They star as late reporters who followed the case closely for the newspaper: Knightley is Loretta McLaughlin and Coon is Jean Cole.
"It's really interesting that you have such a famous case, where largely in the public consciousness the women have been taken out," Knightley says. "It felt really interesting to me to do a story that is about a serial killer, that is about violence against women, and show that through the eyes of women. Particularly with this case, because it was a case that was largely ignored by the male establishment and it took two female journalists to really raise it up and to show how important it was to try and get the community of Boston to understand what was going on and protect themselves."
She adds, "I thought all of that was an interesting angle in a genre that can be seen as gratuitously violent — a way to kind of address it from a different perspective."
The actresses also found a lot to relate to with how their characters face pushback and hurdles because of sexism in the workplace.
"I don't think there's any woman anywhere who hasn't been underestimated in their career," says Knightley. " It's been really interesting talking to women who have seen this film, they're using the word cathartic. It's because I don't know a woman who doesn't understand what all of this feels like, whether that's being underestimated in their career or a woman who's trying to do the impossible thing of juggling a family and a career at the same time."
Says Coon, "I don't know any woman who hasn't walked into just about every room and either been dismissed or underestimated. So it's part of my everyday life."
Writer/director Ruskin says his — which also stars Chris Cooper, Alessandro Nivola, David Dastmalchian and more — was never meant to be a "serial-killer movie," and he instead "fell in love" with the story of McLaughlin and Cole, who became friends while covering the "compelling and horrifying" case.
And of Knightley and Coon, he says, "They're both incredible talents. They have very different qualities and were perfect for these roles. And they also have an incredible chemistry together, which I think really came across in the end product."
debuts on Hulu Friday.