If there are no gods in Buddhism, then who is that lady?

I am a Mahayana Buddhist/Hindu/Polytheist but the sect you refer to is called the Hinayana (Therevada) it is the sect of Buddhism that you were probably taught about.There are deities in Buddhism called Bodhisattva's.Buddhism doesen't have to athiestic at all contrary to what some will tell you.As a Mahayana Buddhist I consider Siddartha Gautama as a deity of wisdom.The "Lady" you refer to is the Goddess of Mercy Guan Shi Yin Pusa.