In Faces of Sigil (my favourite RPG book, bar none, really) there's a Gith named... uh... (checks book) Djhek'nlarr who sells maps of the Lady's mazes. The Harmonium has made it known that
a) These maps are all FAKE. Totally FAKE. Don't buy them.
b) Possessing one of these maps is a capital crime.
RUmour has it that she has some kind of ability that lets her track people when they are mazed.She tricks people into getting mazed, then tracks them down on the ethereal plane, enters their mazes and maps them out. (There's a few theories offered about how she does it. She seems to pickpocket people's personal possessions. Some also claim that for some reason, mazed people leave behind a silver cord, like astral travellers, that only she can see. And that she can follow her own silver cord back out of the mazes to Sigil.)
This being Planescape, it's not actually confirmed if she can do it. Also unknown why the Lady hasn't killed her.
That said, as far as I know, the Lady seems to see Mazing more as a warning than as a capital punishment. If you get out and sin again, you just die.