Lady Loki

In the comics, Lady Loki is a female version of the beloved trickster god, and also one of the most notable of Loki’s shape-shifting forms. 

During the events of Ragnarok, Loki is reborn as a woman. More specifically, he inhabited the form of Lady Sif, Thor’s lover, whose spirit was trapped elsewhere.

More information can be found here:

https://www.inverse.com/entertainment/marvel-phase-4-spoilers-lady-loki-set-photos#:~:text=In%20the%20comics%2C%20Lady%20Loki,whose%20spirit%20was%20trapped%20elsewhere.