Actually, upon further inspection, in the trailer, the background behind this blue lady isn't the third portion of the nightclub, it looks like the part of Overturn when Dante is getting close to the Barbas' tower.
Which means...she's probably just a generic enemy type that we haven't gotten to see at all. In fact, Gregaman mentioned they'd be doing another stream of another level, so chances are we might see her there. But, she's not Kat, it doesn't fit with the other stuff we know about the story, especially with Kat being traded for Lilith after she's kidnapped, so the chances of this blue alien-lady being Kat are pretty slim.