Context

 Lester Young had a unique slang. If you believe everything you read, he is the first person to use the word cool in its contemporary sense of laid back and hip, and the first person to call money bread. His name for the police was Bob and Bing (Crosby). If someone around was racist he would say "I feel a draft."  

Anyway, he called every musician lady, man or woman, so Billy Holiday, a very good friend, became Lady Day. Everyone know this nickname, and everyone knows the Frank O'Hara poem "The Day Lady Died," which reverses the two words, but the habit of Pres calling everyone lady makes the name sound a little different from its decontextualized use.  Everyone's a lady, nothing so specialized about it any more. But... the name only stuck to her, not to every one else he called this. And then it got used in titles like Lady Sings the Blues. 

Jazz slang filtered into the general population in the 1960s, then most of it waned eventually. All the cats, chicks, pads, threads. The hip, the cool. Mailer foresaw this in a 1957 essay called "The White Negro," but he was already running behind what Kerouac had thought long before.