The Tale of Mairon and She-Who-Will-Be-Called-Thuringwethil
In the beginning, she (let's call her Wethil) was one of Manwë's followers. She, as they, was an air spirit and her purpose was to gather information and provide it to her Lord.
As time went on, some of the air spirits took on the form of great eagles - those beings of swiftness and majesty greatly valued by Manwë. Wethil, however, felt that the eagles were limited in their ability to find/see the darker/darkest places where the monsters hid and, for this reason, she took on the form of a great bat instead. Her fellows were less than grateful to her. They believed that, not only was her form monstrous, but the information she gathered would taint her and thus not be worth the cost. Wethil, taking into account their thoughts, decided not to take the form of a bat anymore, but instead to take of the darkness she gathered from the places she ventured into (even some of the stuff of the Void and of the liquid darkness of Ungoliant!) and chanted into being a bat-cloak which allowed her to take the form of a bat without using her own substance. This was tolerated by her fellows, but she remained the only air spirit who ventured into the shadows.
Melkor, took note of her exclusion and her desire for knowledge of the darkness and felt this could be useful to his plans. He exerted himself, therefore, to woo her to his cause. Wethil was charmed by his attention and his value of her calling and skill. Soon she was a regular visitor at Utumno, where she met Mairon. It is not surprising that two such enterprising and intelligent Maiar found their skills/priorities in alignment. So much so that they asked Melkor to take them as servants and bless their union.
It was during the time when Mairon and Wethil were searching for a weakness in the Girdle of Melian, that Wethil was struck down by the Grey Elves who lived within. Although they captured her cloak, her wounded spirit was able to make her way one last time to Mairon and deliver her final information and farewell. One can only imagine Mairon's fervent rage with the Grey Elves of Beleriand following their killing of his Lady. His response upon being defeated by Beren & Luthien while Luthien WORE HIS WIFE'S CLOAK can only be imagined.