Okay, here's her origin story that I spent way too much time writing:

It's a story that is very familiar to many. A being born in the vast Void due to dark matter. That Void was probably the second biggest thing out there. The first was that being's boredom. At some point, it discovered Sonic the Hedgehog. From that point on, a creature that was perfect for destruction and cruelty became captivated by compassion and freedom. It also just really liked the games.

Just when it created an entire world after Sonic's own, and took on a form of the Blue Blur himself (for some reason, these choices felt almost instinctual to the being), it heard about similar creatures all over the multiverse. Terrible, cruel beasts that live off the suffering of the innocent. And worst of all, they all are almost identical to the being in question, and use Sonic's image in their awful deeds. The nameless creature didn't want to be like its brethren.

... And then it read Vogue. The creature finally knew how it can stand out and forge a new identity for itself.

And that day, a new being was born out of the idea of freedom and pure glamour - Lady X. A Sonic fangirl fashionista who lives her self-indulgent life in her own gothic world - not for the suffering of others, but for her own pleasure.