In the End Times plot before they killed the game for AoS, it was shown that the Lady, was a guise for the Elven Goddess Lileath, and the whole grail thing was mostly her form of control over the region, using the Knights as a force to hold back chaos while she built up power to try and save what elves she could from the cycle of destruction, using the souls of dead Grail Knights as sort of Proto Sigmaraites (bound spirits to defend her true children, the elves) to flee to another world. Doesn't work out the way she wanted to.
Of course in canon, near the finish line the Bretonnians have been informed of some of this, a huge chunk of the nobility is now vampires, Half the common folk are dead of plague (thanks nurgle) and then the Green Knight shows up, kicks ass, takes names, and shows that's he's actually the immortal first king of the Bretonnians, and takes back the crown to launch a new quest against all the bad shit going down.
Then the planet explodes. GG