OK. I have a theory as to what the Lady could possibly be and I want to hear if my theory sounds at all feasible.
My theory is that the Lady of Pain is Sigil itself, or a part of Sigil, like its buildings or Sigil's avatar. My reasoning is that she does not get involved in dealing with the day to day crimes of Sigil, but when rebellion becomes like and risks destroying or damaging the city, that is when she appears, like a white blood cell fighting an infection. She does not accept being worshiped, why would a city want worshipers, and people who try and worship her disappear. And perhaps because Sigil is considered the central of the multiuniverse, which could possibly give it much power, it could reason as to why she is powerful enough to bar gods from coming to Sigil.
I know that officially the Lady is an enigma, but just for fun I figured I throw a theory out there that I haven't seen before.
Here was a possible take on it that I came up with that sort of ties into your idea:
/forum/alternative-history-aoskar
Another good source for general ideas is
http://www.oocities.org/athens/7117/chant/lady.html
(Make sure to check out the links like "The Darker Chant"