"Due to the fact that name changes no longer are automatically tracked by the thread, we've implemented mod approval functionality for regular users changing their names to prevent someone changing to something very inappropriate and flying under the radar. It works like before, except that now you wait for a mod to see a big red "approval queue" message and go "ok"."
When I requested to change my username to Anglefish, I had to wait a few minutes before it was accepted. It depends if there's a moderator around or not.
i think usernames are still considered "taken" even after you've switched off of them, so someone having been "lady" in the past is probably what's preventing you from switching to it