This may be a totally dumb question, I'm not terribly familiar with the inner workings of Planescape.
Doesn't the Ethereal Plane only connect to the Inner and Prime Material planes? Since Sigil is in the Outer Planes, how can The Lady put things directly into the Ethereal from Sigil?
That's very weird. Maybe it is because Sigil has portals to everywhere.
Thanks again for helping!
That's my current going theory. 
But then perhaps it has somethign to do with the sides of Sigil, those are two of the largest bound spaces in existance - maybe she's keyed the portals there to go to the Ethereal and Astral for her - and only her.
Not to mention her having nobody age or get hungry in her little prisons. All the better to torture them for eternity. Speaking of which, now that I'm reading through Shemmy's Storyhour 1 archive, that was a little tidbit that seemed to have been left out, if I'm not mistaken.
The hunger bit is *usually* handled by a location within the maze where bread and water appears daily and they can get their minimal needs. For that maze though, the incantifer's subsist on *magic*... so bread really doesn't help much. And of course in this particular game's case - the GM handles the lady such that She routinely customizes mazes to fit those within them and the punishment She desires.
Clueless -- if Sigil is a torus, doesn't that mean it has only one continuous surface?
Not really. There's an 'inside' and an 'outside' - it's like a tire.
*nod* What Bob said. It's not a torus in the meaning of 'donut shaped mathematical object composed of a single surface'. It's a tire. But 'torus' sounds cooler I guess to DnD writers.
I'm pretty sure everybody in the Outer Planes thinks of both tires and Sigil as "Sigil" shaped, as Sigil holds a far more prominent place in their lives than do tires. As for the Storyhour, I guess I misunderstood that the magic hunger was literal.
By the time our characters walked in there - they were - magic is sort of a supplement for what they do, they've modified themselves outside of the norm. So the party was a walking well-defended feast.
Well, exactly. How does she do it? It's a paradox. The Lady of Pain somehow defies the nature of the multiverse by spinning ethereal demiplanes off a city that does not touch the Ethereal. Perhaps she is able to do this because of Sigil's nature as an impossible city that touches every plane, even those planes the Outer Planes cannot touch. Perhaps she is able to do this because she knows secrets others do not. Perhaps she is able to do this with sheer power alone, although I think this last is the least interesting explanation.