She is Lina Inverse, or to be exact (spoiler from the last episode of Slayers NEXT)
The Lord of Nightmares, possessing Lina Inverse.
From a Japanese Q&A site OKWAVE answered by l_gaim_mk1 on August 2008,
NEXT放送当時(1996年)にも言われました。そのネタ。
最初は、当時まだ姿が登場していなかった獣王ゼラス=メタリオムとも、ルナ・インバースとも言われました。
結局、原作者やアニメスタッフから出た回答が、リナ・インバースです。
但し、ロード・オブ・ナイトメアに乗っ取られたヴァージョンである。と。
そういう風に議論が飛び交うのが狙いだったとか。
当時のアニメ雑誌の記述より。
Rough translation
This was also told at the time NEXT was being broadcasted (1996). That topic.
At first, it was speculated to be Luna Inverse or Greater Beast Zelas Metallium, who has never appeared yet at that time.
In the end, the answer that came from the author and the anime staff was, Lina Inverse.
However, the version that was possessed by The Lord of Nightmares.
Maybe it was aimed for the discussion to fly about like that?
Taken from an anime magazine at that time.