Yes, milady comes from "my lady". Milady (from my lady) is an English term of address to a noble woman. It is the female form of milord.

Understanding the Context

And here's some background on milord: In the nineteenth century, milord (also milor) (pronounced "mee-lor") was well-known as a word which continental Europeans (especially French) whose jobs often brought them into contact with travellers (innkeepers, guides ...