The Duchess of Winnipeg (also known as R) is a rich socialite at whose masked ball Lemony Snicket attended with Beatrice. Her house was later burnt down, but she survived. In Lemony Snicket: The Unauthorized Autobiography, a letter suggests that somebody is impersonating her in communications with Lemony Snicket. She is first mentioned in Lemony Snicket: The Unauthorized Autobiography. She possibly had a son or daughter in the Snow Scouts, as when Esmé Squalor was talking about all the fortunes she'd get, she mentioned the Winnipeg fortune.
In The End, it is revealed that the Winnipeg family possessed a ring marked with an R that was passed down from one Duchess of Winnipeg from generation to generation. When the current Duchess of Winnipeg's mother died in the fire that destroyed her house, the current Duchess of Winnipeg inherited the ring and, when she joined V.F.D., she gave it to Lemony Snicket. Lemony had offered the ring to his lover, Beatrice, but she later returned it to him, so Lemony gave the ring to Kit Snicket, who gave it to the Baudelaire father, Betrand, who gave it to the Baudelaire mother, Beatrice,, when they married. Beatrice kept the ring in a wooden box which could only be opened with a wooden key that was kept in a wooden box which could only be opened by a code the grandfather of the Snicket siblings taught Kit and Lemony. The wooden box was burned to ashes when the Baudelaire mansion was destroyed and Captain Widdershins found the ring in the wreckage only to lose it in a storm at sea, and the ring eventually was washed to the shores of the island where the Baudelaires were stranded on in Book the Thirteenth. Ishmael found the ring and gave it to the Baudelaire children, who gave it to their adopted daughter, Beatrice, who is Kit Snicket's daughter, and who, as revealed in The Beatrice Letters, exchanged it to shepherds for a yak ride to the cave her uncle often resided in.
In The Beatrice Letters, it is revealed that the Duchess was classmates and good friends with Beatrice (the elder), and she has played cards with Lemony Snicket before, and defeated him, winning quite a bit of his pen collection. It is also revealed that the death of the current Duchess of Winnipeg's mother caused Geraldine Julienne to become the new fashion editor. In Lemony Snicket: The Unauthorized Autobiography, the Duchess of Winnipeg writes several letters to Lemony, in one mentioning that she gave her annual lecture at the Orion University one night and had lost possession of many of her belongings, including her beloved snacks, furniture, tables, chairs, drapes, grand staircase, houseplant, cloth napkins (which are embroidered with the crest of Winnipeg), the wigs she used to disguise herself like someone Lemony disguised himself as, cigar box, childhood bed, and every book in her private library, seemingly because of a fire most likely committed by arson. Her letter also heavily implies that the time she wrote it was after the events of A Series of Unfortunate Events. The Duchess of Winnipeg also writes to someone called K (possibly Kit), saying it is impossible to keep these two letters (about the planned marriage of Lemony and Beatrice and the marriage of Esmé Squalor and Jerome Squalor) together, and for reasons that she does not need to explain, it is impossible for her to write to Mr. Snicket, and asked this K to get these letters to a safe place-perhaps with Ike (perhaps Ike Anwhistle) or the dairy farm K told her about. This seems to suggest that the others are fake and Snicket says he 'fears the worst' due to the nature of one of the fake letters and its method of delivery. This means that it is entirely possible that the duchess is dead.
In The Grim Grotto Klaus finds an example of the Verse Flunctuation Declaration code in which the poem My Last Duchess by Robert Browning is changed to My Last Wife by Obert Browning; the code is "Duchess R", but the children don't get any further information on her.
In The End, someone shouts "I think we should return to Winnipeg!", suggesting that the Duchess is alive and living on the island.