My preferred theory is that she sealed her true form in order reduce her attractiveness to the pervert, spent all her magic on summoning beasts from another world in order to distract the pervert, and then went “missing” as she went into hiding before approaching a noble for protection from the pervert… only to wind up still encountering Genzou and getting caged by him.
On the flip side, Sieg either killed a demon god or at least wiped out an entire cult to get that demon god’s orb few chapters ago. He also came back with an impressive horn trophy as well. Maybe he killed the demon king and this is the demon king’s daughter who fled into hiding in fear that Sieg would hunt her down.