这个是因为,Lady是人,指人时关系代词多为who.
这是定语从句,先行词为人时,而且在句子中做主语时,后面一般用who或者是that,作宾语时后面一般用whom
举一个例子吧
Do you know the boy who/that left a moment ago?
Do you know the boy about whom he is talking?