The Lady of Cracking Ice is a Fae noble of the Winter Court. She was part of the group that encountered Catherine Foundling and the future Woe on the road to Skade.
She is phenomenally powerful for her title; despite being a mere Lady, Masego judged her the strongest in her party by an order of magnitude (despite one of her companions being the Duke of Sudden Rime), and she was able to disintegrate an annoying Sword of Waning Day without even gesturing. She was also described as "the darling of the Court" by the Marchioness of the Northern Wind, and her higher-ranked companions unhesitatingly backed her suggestion of who should get the dubious honor of introducing the Woe to court.
It's likely that her Role in the Fae Court's stories is "young prodigy" or "lost royalty", or perhaps the archrival to one of these. Such a main-character-like Role could potentially give her the power level of a strong Duchess or even a Princess, with her lowly title being essentially cosmetic to represent a humble origin.