The White Lady is a mysterious figure whom Faith claims has spoken to her in the Winter. This White Lady told Faith about April Ryan, and that Zoë Castillo needed to "save her". Later, when Zoë returns to the Winter, Faith says that the White Lady has another message - that Zoë "did good", that she indeed saved April. This is an odd thing to say as it appears April has been mortally wounded at this point.
The White Lady was the one who told Faith to help Zoë - whether she told Faith exactly how to manipulate the Wire or Faith figured it out on her own is not certain. She is also the one who told Faith that she is Zoë's younger sister, and that her presence is "hurting the world". Nothing else is known about her.