"When we were doing the last scenes in the last episode, I was like 'What the hell are we doing?'" says the star

By Melody Chiu
Updated March 30, 2016 10:00 AM
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Credit: Peter Kramer/NBC

Shades of Blue fans, brace yourselves: the season finale is going to be epic.

“All I can say is I don’t know where we go from here,” star Jennifer Lopez teases in The Jess Cagle Interview with People and Entertainment Weekly‘s editorial director.

“When we were doing the last scenes in the last episode in that last week, I was like ‘What the hell are we doing?’ Oh my God, it’s riveting. I’ll tell you that much!”

NBC’s gritty new show – which Lopez, 46, also executive produces – features the actress in a complex role that’s garnering Emmy buzz.

Watch more of The Jess Cagle Interview with Jennifer Lopez on PEOPLE.com all this week.

“We took two-and-a-half years to develop this and it was just about getting that script right, the characters right,” she says. “We wanted to make a real character piece.”

Lopez’s character Harlee “is a complicated person and she’s caught in a hell of a situation because she’s between her family and her daughter and her cop family and just trying to navigate this situation she’s in with the FBI,” says the star.

Fans tuning in to the finale will be shocked. “Just like much of the season where you sit there like ‘What just happened?!’ … Literally your jaw just drops open,” she says. “The same thing happens with the finale but times 10.”