We explore the quantum properties of self-dual gravity formulated as a large N two-dimensional WZW sigma model. Using a non-trivial classical background, we show that a (2, 2) space-time is generated. The theory contains an infinite series of higher point vertices. At tree level we show that, in spite of the presence of higher than cubic vertices, the on-shell 4 and higher point functions vanish, indicating that this model is related with the field theory of closed N = 2 strings. We examine the one-loop on-shell 3-point amplitude and show that it is ultra-violet finite.