From CoH Comic Index
The Lady Grey is an in-game character and leader of the United Nations security team known as Vanguard.
There is much about Lady Grey's past that is a mystery. It is believed that she has existed longer than either Statesman or Sister Psyche. Her neo-Victorian attire serves as a reflection of her approximate age, although she reportedly sustains her youth and strength through the abosrbsion of life forces of others.
Following the end of the Rikti War in 2002, Statesman turned control of Vanguard over to Lady Grey. This did not sit well with many in the United Nations, some of whom knew of her political mechanizations. But those fears were set aside at the insistance of Statesman.
Almost instantly the transparency of Vanguard was shut down under Lady Grey's control. The organization was remade into its current incarnation, and its main headquarters was moved from New York to the Rikti War Zone.
Five years later, much to the fears of the Vanguard, the Rikti returned, and Lady Grey was waiting for them.
Lady Grey first appears near the end of the Top Cow incarnation of the "City of Heroes" comic series. She first appears in Issue #19 and then again with the rest of the Vanguard elites to save the Freedom Phalanx in Issue #20.
She is appeared in Issue #13 of the "Guardians of the Dawn Spotlight" series.
She also appeared in Issue #3 of "Tales from Paragon City".
(See her Paragon Wiki entry for more information.)