They were shooting an AHS scene with Sarah Paulson, with Peters wearing a hospital gown and a "c*ck sock" to cover his Little Peters. Conan O'Brien explained that "c*ck sock" is a crass but technical term for what's used on sets to cover the entire genital region. Well, the entire part was lost on Evan Peters and led to his exposure to "Ms. Lange."
Here's his story:
"Wow, this is terrible. I basically am leaned over Jessica Lange's desk in a hospital gown, bare-ass, so I put a c*ck sock on. ... I put it on the c*ck, and we did the scene, and afterward, Sarah comes up to me, kisses me on the cheek, and is like, 'Oh, sweetheart, it's OK.' And I was like, 'What, was I that bad?' And then I look over and Ms. Lange is telling the PA that apparently my balls were in her face the whole shot. ... Apparently a c*ck sock is not just a c*ck sock, it's a c*ck and ball sock. So lesson learned. ... You've got to swoop down and sheathe the balls as well."