"By The Runes" by Matt Wagner and Amy Reeder Hadley.
After decades as a supporting player, Madame Xanadu finally gets her own title!
But this isn't the same Madame Xanadu we're all familiar with--no, this series is set in an undetermined time and place. But of course, what's time and space to a guy like The Phantom Stranger?
Early on in the issue, a slightly altered version of the Stranger reveals his presence to Madame Xanadu, although here she goes by the name Nimue Inwudu:
...even in this alternate world, the Stranger performs the same tasks he always does: guiding someone else, warning them, and watching events unfold.