IMO Lady was more a myth, a legend everyone feared and respected. They say she was the ruler and protector of Sigil. She kept the doors closed. I think nothing really happend with her so, she is still there protecting Sigil.
There is a way to, ah, get to know the lady. Start a mass murder or taunt the Lady's Doll a few times. She'll "show up" <img src="/ubbthreads/images/graemlins/smile.gif" alt="" />
Or even better: become a disciple of Aoskar <img src="/ubbthreads/images/graemlins/tongue.gif" alt="" />
