Damon Albarn wrote the music (book and lyrics by Moira Buffini) for wonder.land, a contemporary take on Alice in Wonderland that played at the National in London a couple of years back. Reviews were not kind.
Peripherally, although Annie Lennox hasn't written a musical, her erstwhile collaborator Dave Stewart did; he scored a musical adaptation of Barbarella that flopped in Germany ten or fifteen years ago.
