My understanding is that Lady Loki was a form that Loki took at various points before the events of Siege, and then there's a series of very complicated (and sad!) events that lead to the third Loki creating a new identity for themselves as the God/Goddess of Stories. The thing is, this is all comics canon, and the comics are in a separate universe to the movies. Therefore I'm not sure if it's meant to be Lady Loki or Goddess of Stories Loki (which would make it a crossover), there's been a time in the movies where Loki was Lady Loki (which would make it eligible in the MCU), or something else (where I will need more information).