Lady Grey took Elizabeth Shaw as her protege with the goal to use her to gain the secrets of Major-General Wallace Worthington. Unfortunately, the girl fell in love with Worthington and refused to betray her husband. Lady Grey reacted badly to this betrayal and had Worthington beaten and his house set on fire.
Lady Grey's appearance is so similar to Jean Grey that they must be related. This could have been another reason why the Hellfire Club was so determined to recruit Jean Grey. She also may have been the Black Queen of her time as her costuming seem to have suggested.