Lorne Thyssen, heir to one of the richest men in the world and one of its most eligible bachelors, is talking about how he lost his virginity. ‘It was an extremely unpleasant experience. I was only 15 and it was with a hooker in Travemunde in Germany.

‘The poor girl was so bored with the whole thing that she never took her glasses off. She kept saying, ‘Are you finished yet?’ I found that deeply traumatising,’ says 29-year-old Lorne, giving his first-ever interview. ‘It was a nightmare. The whole thing took about half an hour and cost the equivalent of £40.’ He laughs.

We’re in New York, the city where Lorne is trying to get work as an actor. He comes from an extraordinary background. His father is the magnate Baron ‘Heini’ Thyssen-Bornemisza (annual income of about £25 million and assets estimated at a cool £1 billion), a passionate art collector who owns the world’s largest and most valuable private collection – it is rivalled only by the Queen’s.

His mother is former fashion model Fiona Campbell-Walter and he and his sister Chessie are the Baron’s children by his third marriage. (Heini’s current and fifth wife is the former Spanish beauty queen Tita Carmen.) ‘There aren’t many people who live like my father,’ says Lorne, ‘with private jet, yacht, a large staff, seven homes, and well, not quite a footman behind each chair. He lives like a 19th century grand seigneur.’ Next week is the grand opening, followed by dinner with the King of Spain, of the new home of the Thyssen-Bornemisza collection at the Villahermosa Palace in Madrid. Germany, Britain, France and the United States all vied to house the £800 million collection of some of the world’s finest works of art. ‘Unfortunately, Maggie Thatcher only offered gallery space in the Isle of Dogs or Manchester. You could hardly expect that to appeal to my father!’

The Baron is quoted this week as saying that his decision to make the loan permanent to Spain is meeting opposition from his children. ‘Absolute rubbish,’ says Lorne. Does he mind renouncing (with compensation) his claim to the pictures? ‘Oh God, no! You don’t know what a nightmare my father has lived trying to safeguard the collection.’

Lorne has arrived heavily scented. He is wearing a Ralph Lauren shirt, cravat and cheap shoes. He is good-looking, lean, has gel in his longish hair and smokes Marlboro constantly. One senses his incredible nervousness, but he has a front of enormous confidence. He is also startlingly clever, politically acute and has refined hands.

He is drinking Coca-Cola, having given up alcohol ‘again’ two months ago. ‘Drinking was an escape for me, an escape from not being able to deal with life,’ he says. ‘I’d been drinking since I was 17. I’d reached a stage where I actually drank to get drunk, very quickly. I wasn’t happy, I was maudlin. I suppose I did it because there were things in my childhood I didn’t want to face up to.’

His childhood was ‘a gilded cage’. His parents divorced when he was one and he was raised in Switzerland by a nanny. ‘I was actually something of a freak. I was taught to read at 18 months, to write aged two, and to do maths at four,’ says Lorne, who speaks five languages.

‘I was regimented by working four hours in the morning at the age of 18 months. Then, when I was four, I had earned the privilege of going to the local kindergarten where I could mix with the other kids. It was a really weird, strange childhood.

‘I WAS brought up in a typically English, emotionally constipated environment. But my mother adored me. I had a very tough English nanny and was left entirely to her charge. (My sister was being shunted round various schools). The nanny tried to bring me up against my mother. We lived in a different part of the house and my mother was this ghostly apparition one saw during meal times.

‘I had very little contact with children of my own age, and I became introverted and painfully shy. The time I spent with my father taught me to be a good listener. Also, it was the safest bet if rows were going on.’ (These days he is both extremely funny and a good raconteur. Later at dinner in New York’s fashionable Le Cirque, he starts reciting Shakespeare.) ‘I spent school holidays with my father. I was in awe of him until I was 16 and then we got properly pissed together and he realised that I wasn’t a complete idiot. I didn’t have a lot of contact with him when I was young. I saw him as this hugely powerful, daunting figure.’

Aged eight, Lorne was ‘sent to a prison camp in the Swiss Alps’ where he was always freezing and in floods of tears. At the age of 17, just three months before A-levels, he was expelled from Le Rosey after escaping detention, getting drunk and throwing up on the headmaster’s feet. He then went to Edinburgh University to read psychology, which he didn’t like, and dropped out after two years. In 1987 he did a ‘patriotic’ four months in the army, although he wasn’t obliged to do national service because he wasn’t resident in Switzerland.

‘I spent two weeks in a bunker in the Gotthard Pass, the most godforsaken hole you’ve ever seen. It’s not something I’d recommend to anyone – even the officers started cracking up.’

Lorne recently underwent intensive therapy to make changes in his life. ‘My main issue was guilt. I saw myself as morally degenerate. Therapy gave me back my self-respect, some self-worth and self-confidence. There are now fewer demons. Getting one’s self-esteem back probably does take more time.’ Lorne converted to Islam at the age of 25. Being one of the few Western converts and zealous to boot, he was seen as a leading light and a model Moslem. But his religion prohibits the consumption of alcohol. ‘You can’t imagine the shame I felt.’

HE HAS always refused to talk publicly about his religious beliefs. ‘Nothing could be more personal.’ Initially he was even reluctant to tell his father, who is a staunch Roman Catholic. When the British Press heard about his conversion he fled to Saudi Arabia to stay with Prince Sattam bin Saud. He converted after a kind of ‘divine warning’. ‘I felt the good Lord was running out of patience with me. I was in a lift in a building on Fifth Avenue when the cable snapped. We didn’t fall. I’d just been lugging the Koran around in my briefcase – I felt too overwhelmed by it to take the plunge – and this just seemed like a dramatic warning to stop dragging my heels.’

He looks pensive. ‘I’d always known I wanted to be an actor, but it didn’t seem possible. I was really in a bad state, finding it difficult to adjust after my time in the army, and very unhappy in a difficult relationship. So I dived into the religion. I became very immersed in it and was very extreme. The zeal of the convert and all that.’

He now observes the tenets of Islam, including giving alms, fasting, praying on a mat five times a day and going on a pilgrimage to Mecca. ‘Awesome! The difference between Islam and other spiritual paths is that Islam is like driving a Ferrari.’ He laughs.

We move to matters romantic. He once proposed to a household name (he won’t let me say who) and he has been linked with model Baroness Andrea Von Stumm (‘a French-style intellectual’), Koo Stark (‘I didn’t have an affair with her’), and Karina, the daughter of the late President Sukharno of Indonesia, to whom he became briefly engaged in 1985.

He met Karina at a friend’s house. ‘I immediately took an instant dislike to this girl. She was very abrasive, but somehow I ended up having dinner with her. All of a sudden – and we’d never even held hands or kissed – it just appeared to us both that we were meant to get married.’ So they got engaged – he was 23 – after knowing each other for just two weeks. They went to Gstaad for Christmas and it ‘was an utter disaster. The whole thing was a nightmare. We were miscast’.

He has a reputation as a ladies’ man but doesn’t see himself as a playboy, although he says he’s ‘sowed his oats’.

‘I haven’t had a relationship for four years now.’ He sighs deeply. ‘Of course I’ve had one-night stands. I’m a man and can’t say ‘no’ to my physical needs.’

He certainly behaves seductively. ‘Maybe I’m old-fashioned, but I think people are meant to be in relationships where there is commitment on both sides. It ended very badly with my last girlfriend.’ (Model Michelle Brooks.) ‘I felt I was being dishonest because I didn’t want to get married.’

His mother was a strong influence over finances. ‘Matters regarding money were viewed with thrift,’ he giggles. ‘Of course, money is important, but a friend once said he wouldn’t swap shoes with me for £1 million, and I can understand that.’

The Baron pays him a ‘living’ allowance, but he doesn’t want the amount disclosed. He sold his London flat for £200,000 and rents his New York loft on the proceeds of the interest. Does he have any idea how much money he will inherit? ‘Yes,’ he says, cagily. He reckons he will ‘still have the drive to succeed’ afterwards.

He moved from London to America six months ago because he ‘doesn’t want to earn the wages that British actors do’. He behaves in the manner of any hungry actor, pleading for free copies of my photos. This summer he played Mephistopheles in a New York production of Faustus. He is reworking his film script, an ‘improbable’ love story between a Palestinian and an Israeli, and is keen to do a production of Richard III in New York.

‘The problem,’ he says, ‘is always where to find the finance.’ Won’t his father help? (‘My father has always said that if anyone in the family gets kidnapped, he won’t pay,’ he said earlier, laughing.) ‘I’d rather do it myself than go to my family. I’m sure he’d help if I asked.’ Is his father disappointed in him? ‘As long as you do something vaguely useful, my father is quite happy.’ It’s now 1am and Lorne offers to continue the interview in my hotel room.