In regional theatre, Dillon appeared in the new musical Triumph of Love at Center Stage, Baltimore, Maryland, in December 1996, as one of a "comic trio of clowns". She appeared in the Tennessee Williams plays 8 by Tenn at the Hartford Stage in 2003. Dillon starred as Beatrice in the world premiere of Tom Dudzick's Don't Talk to the Actors at Studio Arena Theatre in Buffalo, New York in September 2007. In October - November 2010 she appeared in a new musical in "development", Roald Dahl's James and the Giant Peach at Goodspeed Musicals in Chester, Connecticut. In January 2012 she stars as Berthe in Boeing-Boeing at Hartford Stage.
In a recent interview with Vulture, Dillon said she is gay and married to a woman named Barbara Smiley. The two were engaged in 1996. Although she was closeted during her time on the show, this ultimately makes her the first lesbian cast member on Saturday Night Live (previously Danitra Vance was considered to be the first overall, while Kate McKinnon was thought to be the first one to be white, though McKinnon is still the first lesbian cast member to be out of the closet at the time of her hiring), the first cast member of the LGBTQ+ community (though Terry Sweeney is still the first openly gay male to be an SNL cast member), and the only LGBTQ+ cast member who didn't work as a cast member for Lorne Michaels.