Before “Spider-Man: Turn Off the Dark” in the annals of big musical-theater talent laying a big, unfertile, super expensive egg, there was “The Pirate Queen.” Having its preview run in Chicago, this play about Grace O’Malley, a 16th Century Irish freedom fighter, had the creators of “Les Miserables,” the producers of “Riverdance” and Steppenwolf’s Frank Galati behind it. They sold a whole lot of advance tickets here. But they did not, alas, have much of a play.