Because the Planescape cosmology assigns certain common traits to gods, as a class of beings, and the Lady does not have those traits. (The Planescape cosmology also allows for all kinds of extremely powerful beings that are Not Gods - being a god does not mean you are on top of the power scale. It means you are one of a particular class of beings that fits a group of traits. It also usually means you're pretty powerful but it's not inherent to god-hood.)