The Lady Shady is the wife of Lord Bord, a member of the bureaucracy of Machovia. She is known as a beautiful and highly sexual woman. Despite being old enough to be his mother, she attempts to seduce Moonshadow quite openly, but (being still a virgin and full of sexual panic) he ignores her for the purer joy of nannying Queen Dibbich's children.
Moon spies on her, and sees that she regularly walks in the palace gardens, clutching herself and crying out "Why?" to the world, day after day. Moon becomes convinced that her sexual drive covers up some other existential need, but never learns what it is.
One night, after King Macha shows Moon his hidden library of books, which he has hidden from Pobidiah Unkshuss, the cruel, manipulative religious leader of the world, and the two of them get drunk, the Lady Shady shows up and brings Moon back to her room.
Despite Moon's understanding that the Lady Shady's lust is really a sad sexual disorder, they get into bed together and Moon prepares to finally lose his virginity. But then he suddenly has a vision or spiritual visitation from his mother, who persuades him that this union is wrong, due to Shady's emotional state.
Moon runs back to Macha, and discovers that Pobidiah has destroyed the books. Right after, Shady shows up and accuses Moon of raping her. Clearly, she has been blackmailed somehow by Pobidiah. It is unclear whether her earlier attempted seductions (in previous weeks) were of her own initiative or not. It is also unknown whether her daily tormented walks were the result of Pobidiah's manipulation, or whether they derived from the same source that he used to blackmail her. Moon is forced to leave Gimmegimme in order to avoid the charges.
Much later, Moon returns to Gimmegimme just in time to find the fresh corpse of Lady Shady laying in the street. She had ridden her carriage up to Unkshuss's hotel and screamed at him, then shot herself in the head. She had seemingly had enough with Pobidiah's manipulation of her life and that of others.
Thereafter, the Lady Shady always held a special place in Moon's mind, as a tragic and beautiful figure, one always intertwined with his memories of love and lust.