Characterising storm surge in extreme sea states is important in offshore design. Here we estimate key surge design characteristics such as the maximum surge observed during a storm event of given extreme storm severity and covariates such as storm direction. Inferences are made using a simple non-stationary implementation of the conditional extremes model of Heffernan and Tawn (2004), comprising a set of coupled piecewise stationary marginal and dependence models defined on a partition of the covariate domain. The approach uses samples consisting of pairs of values for peaks over threshold of a conditioning variate, namely storm peak significant wave height, and the corresponding peaks over threshold of an associated value of a key surge characteristic. Each pair is allocated to a particular storm direction covariate interval, and all pairs within the same interval are assumed to exhibit common stationary marginal and conditional extreme value behaviour. Non-stationary marginal extreme value characteristics for each variate are estimated using maximum roughness-penalised generalised Pareto likelihood estimation over covariate intervals. Extremal dependence between variates on a transformed standard Gumbel scale is then estimated using maximum roughness-penalised likelihood estimation for a conditional extremes model, also piecewise stationary with respect to covariates. Sample and threshold uncertainties are quantified using a bootstrapping scheme. Marginal and conditional return value distributions, estimated using numerical integration, incorporate these uncertainties. From offshore radar-based measurements at locations in the northern, central and southern North Sea, we observe that characteristics of surge and significant wave height vary with wave direction at all locations. Surge is a larger contributor to extreme seas in the southern North Sea than in the northern North Sea in particular. There is evidence that extremal dependence between surge characteristics and significant wave height also varies with storm direction. Hence, the size of surge contribution to return values of total water level also varies with storm direction and location.