Zullie was a witch. Since the Witch of Izalith became the Bed of Chaos and brought forth the demons, witches have been outcasts from society. Despite being adept at sorcery, the witches do not attend the great schools of magic. Vinheim in the past, and the Melfian academies do not accept or teach witches. From what we know the witches are often solitary, or are raised by their immediate family in isolation.
Zullie was unloved and despised by others, she lived alone and harbored hatred. When Alva the Wayfarer came to her land, seeking a cure for Saint Serrata, Zullie was driven to jealousy. She did not believe that anyone could love like Alva did or be as dedicated. Using all manner of tricks and deceit, Zullie attempted to ruin Alva. Her three pieces of headwear may give us clues as to her tactics. The black witch hat may have been her more traditional wear, what she wore when she first encountered Alva. The Domino Mask disguises the wearer. It raises the user’s magic attack but lowers the user’s hit points. Perhaps Zullie disguised herself and approached Alva in this mask, fully offensive in her attempts to ruin him, but exposing her own weakness in the process.
We know that at least initially, Zullie’s attempts were rebutted. Alva would not be dissuaded from his attempts to help Saint Serrata. Perhaps it was at this point that Zullie realized Alva was genuine in his efforts and therefore began to respect and even admire him.
A time came when it was apparent that there was nothing more Alva could do. There was no cure that he could find for Saint Serrata and having come to this realization, Alva relinquished his knighthood. It is likely that Saint Serrata was beset by the curse of the undead, and just like the player, Alva had traveled many lands in search of a cure.
After relinquishing his knighthood, Alva fell into despair, but it is said that Zullie finally found illumination and aided Alva in re-finding his purpose. She spent the remainder of her existence helping Alva in his efforts, and this is where Zullie's veil may have come in. Veils are most commonly used in marriage so it seems this story may have had a romantic ending.