Jenny o' the Woods was the name given to a powerful nightwraith that haunted the fields near the village of Midcopse in Velen.
Jenny o' the Woods used to be a woman named Zula who lived in Midcopse. Zula's transformation into a nightwraith came about after she was murdered by another villager named Bokhai, whom she rejected as she was in a relationship with Ontan. As Bokhai wouldn't leave them alone to the point Zula feared for her life, she and Ontan made plans to run off in the middle of the night. However, Bokhai learned of this attempt to run off and ran after them and ultimately killed Zula.
So... That's to mean... our Zula's the wraith? – Bolko, ealdorman of Midcopse
It is said true love's flame is never extinguished. This sad truth is the reason why Zula of Midcopse, whom an early death had separated from her beloved, was unable to find peace in the next life, and instead returned to haunt her former environs as a nightwraith.
Fighting such an apparition is extremely difficult. A nightwraith will form mirror images of herself to confuse her opponent and aid her in battle. She herself can take on immaterial form, rendering her invulnerable to blows. The best way to force her out of this state is to set a trap with the Yrden Sign, then quickly followup with Igni while she is caught. Most important of all, however, is this: never attempt to fight one in the middle of the night, when the moon hangs high in the sky.
This vengeful wraith might very well have killed every last inhabitant of the village, had not a famous witcher, Geralt of Rivia, appeared in Velen - and been in need of a bit of coin.
Bolko states that Zula and Ontan disappeared about one week prior to Geralt's investigation. However, any amount of in-game time may pass between taking on the contract and actually investigating the matter.
The Witcher 3 Jenny of the Woods Boss Fight (Hard Mode)