Sansa Stark’s direwolf is named Lady. Lady is the smallest and, in the story, one of the most graceful-looking of the direwolf pups adopted by the Stark children.
Sansa chooses the name because it suits the refined, courtly identity she hopes to embody. Unlike some of the other direwolves, Lady is closely associated with Sansa’s early desire to become a proper noblewoman and marry a prince. Her name also reflects Sansa’s idealized view of life at court before she learns how dangerous it can be.
Lady’s fate is tied to the conflict involving Arya’s direwolf, Nymeria. After Nymeria attacks Prince Joffrey to defend Arya, Arya drives Nymeria away so the animal will not be captured. Queen Cersei demands punishment, and King Robert orders Lady killed in Nymeria’s place. Ned Stark carries out the order himself.
Lady is therefore the first of the Stark direwolves to die, and her death marks an early victory for Lannister power over the Starks. A common mix-up is confusing Lady with Nymeria, Arya’s wolf, or Grey Wind, Robb Stark’s direwolf.