Brynhildr

She's the goddess of war from Northern Europe. Who appears as a central character in Northern Europe's legends that tell the heroic deeds of Sigurd (described even as Siegfried), whom she fell in love with. She was a queen who was not able to join hands with her beloved hero and invited ruin from her sadness.

Fate/Prototype: Sougin no Fragments

Lancer is the first opponent faced by Manaka Sajyou and Saber. She allied with Archer to eliminate Saber. But she disappears somewhere whilst Saber and Archer are fighting Rider.

(Source: TYPE-MOON Wiki)