Mary, The Masked Mute, lives in the Dreamlands. Being a mute, she expresses herself by revealing an appropriate mask from underneath the current one. She refers to Nyarlathotep as "Daddy", but it is never explained if she is truly his daughter.
When we first see her, she is "thinking" in rhymes while dancing her way through the Dreamlands to the waking world. Her rhymes are shown to have a dark edge, such as:
A face for eating ice cream floats,
Another for slitting lovers' throats.
To see Mary's true face is so horrific that it can make the most terrifying of the Dreamlands' monsters scream and it is shown to be able to kill a human.
When at R'lyeh
, Mary confronts Lucifer
, but Lucifer outsmarts her by picking up one of her own discarded masks and putting it on. Mary doesn't know how to react and runs away, throwing away many masks as she goes.