A documentary about a sitting first lady is unusual. A $40 million documentary, released theatrically while its subject occupies the White House and retains full editorial control, is something else entirely. That is the situation surrounding Melania, a feature-length documentary about Melania Trump, which premiered this week at Washington, D.C.’s Kennedy Center before a global theatrical rollout backed by Amazon MGM Studios. The film, which reportedly follows roughly 20 days surrounding the Trumps’ return to the White House, has sparked questions not because of what it reveals, but because of how, when and why it exists at all.From its price...