Madame Rain was a Sidhe Knight, played by Morgue.
Background
Madame Rain was one of the Knights of Baroness Mordren at Kingsley Hotel, and one of Waldren House's foes. She seemed to dislike everyone in the household, from Slim to Lady Catherine to Richard to Stig to Jacoby. She became particularly scathing towards Jacoby, almost accusing him of stealing her dragonbone and of being a minor lackey to a trifling noble who didn't deserve the name.
Slim, acting as the instrument of the Dreaming in taking vengeance on her in Jacoby's place, killed her as his gift to Jacoby, shortly before leaving Waldren House. This was both a chimerical and physical death.