my theory is that she's a corrupted angel, to be more exact, Mephisto stole angelic essence from the Heavens and infused his own to create her.
This comes from the scenes in Diablo 4:
memories of her birth:
"Tear away compassion. It breeds defiance. Cut free the weight of mercy. Bind her heart in hatred...and call her mine."
Why would you need to tear away those things if you come from a pure evil entitly like Mephisto? He's not some run of the mill deamon but the essence of Hatred.
Second part and also from her: "He wanted a stage to play out his little perversions."
I think Mephisto took her and shaped her into his daughter to play to his ego and flaunt her. Always gloating when she