It's a personification of the word luck. It might have come about because Fortuna was the Roman goddess of fortune/luck. There was was even an American comic strip in the 1940s featuring the character Lady Luck.

She is the one that is responsible for the Trials as well as the store. She is the one responsible for gathering the behemoths to the Trial field. Lady luck also goes by the name the Corsair Queen  Lady luck is the owner of the corsair ship Fortunate Soul.