Well, the final shots of the missing authentic drawing clearly showed the sylph next to a multi-headed serpent. The sylph was clearly this mystery woman. I took this ending as Polanski's way of trying to tie it up visually, instead of a cheese-ball reveal, eg.
Identity. The implications that all these people were pawns of the beast, used in the game of all games (like the drawings said), seem pretty clear.
Since the reveal we get at the end is the ninth and final drawing, it must hold the key.

Clearly she was in league with the beast, and her aim was to seduce Corso and perhaps conceive with him at the appropriate time. Think about the lecture at the beginning of the film that Balkan is giving. The lecture is on the occult and witchcraft, but more precisely, about Familiars. Now, Balkan states clearly in the film that his...hobby, which is more of an obsession, is strictly related to Lucifer himself. Every single book in his collection is on the subject. He makes this quite clear.
The first appearance of this woman is in this lecture, dressed very strangely, and special note is taken of her socks, one greed, one red. This classic color symbolism is indicative of her role as the link between the natural and the supernatural, the mundane and the ethereal, IMO. She fits as a familiar.
This film is clearly flawed, but, I feel it does far more right than wrong. The Atmosphere is fantastic, the cinematography is rich and textured, and the characters are all incredibly cinematic.