The Lady is the main character of this story, who expresses herself through many different characters. She pretends first to be a nameless prostitute; then Fantomina, a well-born country girl whose circumstances slightly resemble her own; then Celia, a humble country maid; then the Widow Boomer, a recent and unfairly disinherited widow; and finally, a mysterious noblewoman known only as Incognita. The amount of energy and artfulness that she puts into these creations suggests both a rich imaginative life and great reserves of shrewdness and resourcefulness. At the same time, these gifts do not serve her well, but only make her increasingly desperate and stranded. This is because she has applied her gifts entirely in the service of snaring Beauplaisir, a fickle nobleman.

While we ourselves know that the Lady is only one woman, as opposed to many women, we also see her through the credulous eyes of Beauplaisir. We see the Widow Boomer as being a different character from Fantomina, and both of these characters as being different from Incognita. This is in part because it seems almost physically impossible that one woman could be in so many different places at once; at one point in this story, she is meeting Beauplaisir as both Fantomina and the Widow Boomer, having just taken leave of him as Incognita.