They are simply "the Thane" and "the Lady". Of course, it's allowable to say the names for rehearsals and performances.
From a literary standpoint, however, I wouldn't call it a parallel so much as a dramatic reversal. The Lady goes from callously pursuing her ambition for her husband to going mad with the guilt, while the Thane goes from being hesitant, and not really wanting to kill the king, to ruthlessly murdering anyone who gets in his way. It's not a parallel, it's a head-on collision!
Yep. Curses to literary analysis in three seconds flat.