Lady of the Six Sorrows' main purpose is to increase The Pentitent One's health each time you find her. She takes out one of the swords that are plunged through her and offers it to The Penitent One. She mentions that those who see right through her tormented heart will be blessed with her devotion. There isn't much lore to her, but she seems to have an influence on Mater Dolorosa who also has swords plunged through her pure heart.