Milady is a form of address to a noblewoman. Yes, milady. As you wish, milady.
It is entirely archaic and survives only in historical fiction and costume drama, where it does a great deal of work establishing period. Milord is the male equivalent. Both came into French from English and back again, which is why they look French. Note that the real English forms were my lady and my lord, and milady is the run-together version that French speakers heard and English writers then borrowed.
1nounmiladyA form of address to a noblewoman.
“The butler bowed and asked, 'Will that be all, milady?'”
milady is a form of address.
mi-LADY → my LADY
The servant bows so low his hat touches the floor, and greets her in one breath, as if my and lady had grown into a single word. The lady walks past without turning her head.
hooks ontolady
French milady is a borrowing of the English my lady, run into one word. English then took it back in that shape, so the word is a round trip across the Channel with a change of spelling.
English
my Lady
French
milady
English, today
milady
Partly representing a colloquial pronunciation of my + lady, partly from French milady, from English my Lady. Compare milord.
Etymology from Wiktionary, CC BY-SA
Practised in A Song of Ice and Fire