Once upon a time there was a German word that meant 'gentleman'/'mister' and its female version became what is 'Frau' (woman) nowadays - so basically 'Frau' means 'lady'. The name of goddess Freyja has the same origin, by the way. The proper meaning of the masculine version of this extinct word is 'the first', which means that the title 'first lady' is sort of redundant. XD