“It’s been exhausting,” Rebecca Pidgeon said of starring in David Mamet’s dialogue-heavy, two-woman play, “The Anarchist,” at Theatre Asylum through May 23. Pidgeon, who is married to the Pulitzer Prize-winning Mamet (“Glengarry Glen Ross,” “American Buffalo”), plays a prison warden tasked with deciding whether a Weather Underground-type terrorist incarcerated for 35 years now deserves parole.