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Which grey lady is that?

Since whoever added the above erased my answer, I'll try again:

If you mean the Grey Lady ghost in the Chase, that was an android programmed to act like a scary ghost for a horror attraction (like Disney's Haunted Mansion) at the 1996 Festival of Ghana, along with other familiar monsters like Dracula.

In the later spinoff novels (the Eighth Doctor Adventures series Interference), we learn that the androids started killing people because of faulty software delivered by Microsoft.

Other than that, we know nothing about the androids other than their short appearance in "The Chase".