The King of Fighters 2001
Diana was originally planned to be a playable character, and had most of her assets created, but was ultimately scrapped.
The inception of May Lee Jinju was at the request of the game's sponsor, Eolith, expressing a desire for a "Korean Athena" character. This request initially asked for an "idol-like visual fighter," which charged over time into what was in the final game. She was named after the person who was in charge of Eolith at the time.