Advanced V.G. II: Kyoko Kirishima, in every possible aspect - from her beauty, to the elegant design of her kimono, and her fighting style. She's easily one of the most visually stunning and graceful grapplers you'll ever see.
In BlazBlue, Tsubaki Yayoi uses quite some dignity when fighting with her sword. However, the more appropriate title seems to go to Litchi Faye-Ling as not only she's the adult female, her moves has quite the emphasis on fluid, graceful, classy movements, reserved chi control, and she supports it with having a nice and motherly personality to back the 'Lady' part up.
Bloodborne: A female player character who focuses mostly on Skill based weapons can come across as this. For a non-player example, Lady Maria in the Old Hunters DLC is graceful, noble, and extremely deadly.
The video game version of Brave (for PlayStation 3) had Merida who is a badass, tough-as-nails archer-like Lady of War that does not give up when she battles her way through all 4 elemental levels to break the curse and to defeat Mor'du (the demonic bear).
Dead or Alive 5 has Lei Fang and her Virtua Fightercounterpart, Pai Chan. The former is a prodigy of Tai Chi Quan, while the latter uses Ensei-Ken. Both their fighting styles are fluid and highly advanced, and each kicks plenty of ass in ornately designed Chinese garb - ranging from Lei Fang's signature red Qipao, to Pai Chan's VF5 attire.
The series has plenty of others, including Helena Douglas, the calm, collected CEO of DOATEC who won the fourth tournament, and Christie, a cold and calculating English assassin who fights with snake-style kung fu and uses quick, precise strikes. The kunoichi Kasumi and Ayane could also be counted, as their fighting styles emphasis speed and precision.
Sarah Bryant, the other female guest character from Virtua Fighter, also fits, as she always keeps her composure and fights with more grace that her brother Jacky. Aoi from the VFseries fits the most, using Aiki-jujutsu and properly timed counters to break limbs while always dressing and acting like a proper Yamato Nadeshiko.
A possible choice for a female Grey Warden in Dragon Age: Origins, should she be a non-mage (and sometimes even then, taking the Magic Knight option). Most obvious if playing a dwarf or human noble. Leliana also qualifies to an extent; potentially, Wynne can be a Cool Old Lady version of the trope should the player give her the Arcane Warrior specialization.
Although most of her badass-itude is purely political, Queen Anora has more than a few traits of this, especially if she leads the final battle in Origins.
In Dragon Age II, whether warrior or rogue, you can play female Hawke as a soft-spoken, graceful, complete and utter badass. One could even extend this across the board to include a female mage Hawke too, since magic staffs now double as functional melee weapons.
Hawke's sister Bethany fits the trope too, especially if she's sent to the Circle. Bringing her along for the DLC campaigns in later acts shows that she's still graceful, sunny, and kind-hearted; she wears what looks like a pretty dress; and she wields powerful Force spells to decimate the enemy.
Dragon Age: Inquisition gives us two such ladies: Cassandra and Vivienne; both ladies are magic knights if from opposite approaches (Cassandra's a warrior with Anti-Magic abilities, Vivienne is a mage who conjures a Laser Blade), and both have a calm, regal demeanor. While Cassandra may seem the rougher of the two, she has a decidedly feminine love of romance novels and if you pursue her as a love interest, she demands proper courtship. Vivienne, on the other hand, is an ice queen through and through and can't be romanced (on account of already being in a relationship).
A female Inquisitor, particularly the human noble, can be played this way too. The Champion specialization for warriors and the Knight-Enchanter specialization for mages lend themselves to the visual.
In The Elder Scrolls series' mythology, this is the case for Kyne, the old Nordic aspect of Kynareth, the Aedric Divine Goddess of the Air and Heavens. As Kyne, she's the warrior-wife and widow of Shor, the "bloodthirsty warrior king" Nordic aspect of Lorkhan, the "dead" creator god. She has a Friend to All Living Things association with nature, and also acts as a Valkyrie, guiding the spirits of dead warriors to the Sovngarde. She's also a motherly figure, said to have created mankind when she "exhaled" on the Throat of the World. She's also the patron of hunters in the Nordic tradition. These attributes were carried over to a lesser extent in her Imperial aspect as Kynareth.
Final Fantasy V has Lenna, a plucky, kind-hearted princess who can wield any weapon thanks to the job class system. She is made to look feminine in all of them and is portrayed as much more graceful and feminine than her more tomboyish sister Faris. Yoshitaka Amano and the CGs from Anthology also depict her with a sword.
Final Fantasy VI: Celes is cool-headed, graceful and looks beautiful in an opera dress. She is also a skilled fighter who can use swords, knives and maces. Her artwork even shows her striking an elegant pose while holding a sword.
Final Fantasy IX: Beatrix and Freya. Freya is calm, polite and dignified even when dealing with opponents and is an excellent fighter while Beatrix is a gentlewoman who looks feminine without being over the top about it and is a skilled swordswoman.
Final Fantasy XIII has Lightning. Cool, or even cold, and calmly collected even when taking down mooks with her sword/gun while spinning in the air acrobatically. Relatively simple clothes for Final Fantasy, yet radiates style.
Final Fantasy Tactics: Agrias is an elite soldier whose beauty is noted by some characters. She even accepts a gift of balm in an optional cutscene in the re-release.
Princess Lucina. She fights with acrobatic flips, graceful twirls, and fast slashes with her Falchion, making for a lithe and elegant swordswoman.
The Female Avatar counts as well. As The Strategist and second-in-command of the Shepherds, she's composed, calculating, and dignified in battle.
Sumia can potentially evolve into this, whereas Cordelia and Cherche are almost there when they appear. The three are mounted units who fight either with lances (Sumia and Cordelia) or axes (Cherche).
Among Lucina's friends and fellow members of the Kid from the Future group, two of them can evolve into this: Sully's daughter Kjelle, a lance-wielding Glacier Waif, and Tharja's daughter Noire, a timid archer-in-training.
The Female Avatar and Princess Azura. The Female Avatar is reserved and cool-headed in combat and fights with a sword, magic and dragonstones; Azura has a calm and graceful bearing, employing fluid spins and twirls while wielding a lance.
Women in both the Nohr and Hoshido sides fit this trope. The Nohrians have Effie, a feminine and gentle knight who's very protective of others with her lances, Princess Camilla who's eerily serene even as she tears enemies apart with magic and an axe, and Camilla's subordinate Beruka who also rides a wyvern and kills people with her own axe; the Hoshidans have Queen Mikoto, a calm and regal War Priestess, Kagero, a cool-headed kunoichi from nobility, and Oboro, who's fashionable, feminine, and wields naginatas with notable finesse.
Fire Emblem Gaiden and its remake Echoes: Shadows of Valentia has the female lead Celica (who fights with a Royal Rapier and offensive magic), the Pegasus Knight Clair, the aforementioned Whitewing Sisters and the Cavalier Mathilda. In Echoes, a Faye reclassed into Cavalier or Pegasus Knight will join the group.
All of the female characters from Gemfire can feasibly qualify, but Keyla, of the Lyle family, is an outstanding example.
Millia Rage from Guilty Gear has a quiet and completely non-brazen demeanor, and her fighting style reflects that. Her animate golden hair flows gracefully, tends to incorporate flower and wing motifs into its strikes, plus it leaves the rest of her body free to contribute to the trope with dance-like movements.
Kingdom Hearts has Aqua, who remains very poised in battle. She dodges with graceful cartwheels and twirls, has unusually elegant keyblades, and takes down almost every Big Bad singlehandedly. It does help she was named Keyblade Master in the beginning of the game.
King is the series foremost example, being that she's a champion level kickboxer, whose style seamlessly blends elements of Savate with traditional Nak Muay. And she fight all of her matches in a burgundy tuxedo, complete with a black bowtie.
Ashe the Frost Archer, who is Queen of the Freljord and wields a bow, has a graceful and focused personality. Her play style requires calmness, composure and knowing when to shoot instead of rushing, and she's versatile in what she does as an archer from slowing down to stunning the enemy. It's saying something that in the right player, Ashe is pretty much capable of starting a fight without being in there. She's also in a marriage to Tryndamere, making an example of Guys Smash, Girls Shoot.
Fiora the Grand Duelist is a noblewoman from a Demacian family known for their style when using swords. Her fighting style focuses on using her rapier fluidly, precisely, and agilely, and she's even dressed in graceful armor for combat. In manner, suiting her status, she's sophisticated and even chastises her opponents for having "suched unrefined style" in combat.
Irelia the Will of the Blades has an elegant demeanor, and uses traditional Ionian dances to levitate and move her blades, giving her attacks a very graceful quality. Her blue color motif is representative of her graceful, dignified style.
Leona the Radiant Dawn is a knight templar and very dignified when armored and wielding a sword, with her movements resembling a martial dance. Her armor even bears some elements of a Battle Ballgown.
Riven the Exile was a high-ranking soldier before leaving the Noxian army, and her play style based on dashes and Combos has much less brute force and more efficiency when compared to other Fighter Champions. Her gameplay designer even said he intended for her to be a "battle dancer", moving swiftly in and out of battle.
Sona the Maven of the Strings has a feminine, demure demeanor, wears beautiful flowing dresses, and uses an etwahl, a magical hybrid of a harp and piano that evokes the beauty of both instruments. While using it, she plays graceful chords and vibrant arias to cut down foes with weaponized Magic Music.
Princess Zelda from The Legend of Zelda when she has a chance to fight. Ever so regal and graceful, when she fights alongside Link she's armed with the light arrows. She becomes more of a Lady of War in Super Smash Bros. and Hyrule Warriors where she's given more elegant fighting styles, with open hand attacks in the former and a rapier in the latter.
Rue of Magna Carta 2 is the dedicated protector of the resident distressed princess, uses graceful 'katana' or 'shuriken' styles, and maintains an air of cool, detached competency throughout the entire story. She's also the only female on the team who shows no interest in romance and is not fanservice-y in design/presentation.
Mass Effect 2: Samara has all the qualities: grace, reserve, the voice of a classy woman, honor, a graceful fighting style using biotics, and a full awareness of her role in the universe wherever it takes her. Most of all, she's the only female player character in the entirety of Mass Effect who can't be successfully romanced by Shepard. You can try, and it results in a sad, character revealing scene for Samara that results in her proclaiming that it's impossible even if she herself desires it deep down.
Also from Mass Effect 2, Miranda also qualifies with her elegance, calm (if cold) demeanor, and preference for biotics over firearms. And unlike Samara, she is a possible love interest.
Liara is also this, which especially shows by Mass Effect 3. She wears a more elegant white outfit and has become more emotionless, never raising her voice. Bonus for having biotic powers and being a member of the most elegant alien race in The 'Verse. She gets it from her mother, Benezia, a prominent political figure and extremely powerful biotic.
FemShep, who despite typically acting as The Squadette during her off-duty hours, nonetheless, manages to remain focused, reserved and cool-headed at all times throughout combat situations. Particularly if playing as a Infiltrator, since she has no special biotic abilities, no offensive tech abilities and her primary weapon is simply a large sniper rifle that can punch through tanks. A female Vanguard Shepard can also wield a shotgun that is designed for a krogan to wield and can pack quite a devastating punch.
The Boss from Metal Gear Solid 3: Snake Eater. Grace, reserve, and quick, efficient bone-breaking CQC to execute fast field-strips and wreck opponents' weapons. She commands so much respect that she intimidates Volgin by just questioning him, and is very wise in warfare due to spending decades as a soldier.
Kitana has long been Mortal Kombat's klassy lady. She fights with steel fans and has a regal demeanor befitting her station as Princess of Edenia. Her mother, Queen Sindel, also counts when she's not Brainwashed and Crazy.
Though Neptune of Neptunia doesn't really fit this trope what with her being more of a Genki Girl than anything else, her goddess form Purple Heart definitely fits the bill. Serious, stoic, tough, graceful yet deadly with her katana, the works.
There's also Vert/Green Heart, who fights with a spear, possesses graceful attacks with it and gives off a "classy lady" air... most ofthe time.
Gwendolyn from Odin Sphere uses a magic spear rather than any kind of sword, but considering her noble warrior attitude and the fact that her battle outfit is based on a ballerina costume, she definitely qualifies.
Lian from Paladins is a noblewoman who carries herself with an arrogant grace and her fighting style requires a combination of speed and precision. She doesn't slow herself down with a sniper scope for her rifle, but her shots travel very quickly and will damage someone in the line of fire the moment they're shot. This allows her to get closer to battle, jumping around while shooting precisely, or slide around gracefully and delivering an Always Accurate Attack.
In Persona 3, Mitsuru Kirijo fits the personality to a tee, being elegant, reserved, formal, and favors a classy rapier as her weapon. However, her persona's ice spells makes her better as a Lady of Black Magic. The actual female physical powerhouse, Aigis, is a Robot Girl who uses guns.
The female main character in the Persona 3 Portable rerelease qualifies. She even uses a Naginata as her weapon.
Diantha from Pokémon X and Y is as close to this as possible in a Mons Series. She's a very elegant, world-renowned actress with a refined and mature demeanor. As a trainer, her signature Pokémon is the graceful Mega Gardevoir, and she's the Pokémon Champion of Kalos.
Glacia from Pokémon Ruby and Sapphire is this as well; a cool, reserved young lady in a long, flowing blueish purple dress, who happens to be one of the Hoenn Elite Four with a wicked strong Ice-type team.
Project Justice's Yurika Kirishima is this. Despite being a trained Musical Assassin, she dresses and acts like she belongs in at a fancy party or in an orchestra, not a fight. She fights with her violin as if it were a rapier, and even calls fighting "meaningless" when taunting.
In Riviera: The Promised Land, Fia generally takes over the role of Healer in the group, however, she uses a rapier as her primary weapon and is the only character in the game who can use the full power of the Kiku-ichimonji, making use of the attack "Oboro-garasu". Her Overdrive skills also carry an "air of grace" with them, and are named after musical terms (Vivace, Cadenza, Presto, Brilliante).
Karin Koenig in Shadow Hearts: Covenant fits this role well, alternate costumes be damned. Her weapon of choice is the rapier, she learns new battle techniques by collecting Wagnerian manuscripts and genuinely fights in a graceful manner as befitting the role. Karin is also the female lead of her game.
Xiuying from Shenmue. Soon after making her debut in the second game, she curb stomps Ryo, effortlessly avoiding his attacks and putting him in his place with bare minimum force. Later, when the first fight against Don Niu on Kowloon goes awry, she steps in as Ryo blacks out. And from the tone of Don Niu's yell after the fade to black, she pounds him in short order as well. Oh yeah, in both times she's wearing a simple but elegant Chinese dress.
Xianghua has one foot here and another in Cute Bruiser. Nevertheless, she has a very elegant fighting style that combines aspects of swordplay and fencing with fluid, near ballet-style movement. "Poetry in motion" doesn't begin to do it justice.
In turn, there's Raphael's adoptive daughter Amy; she takes after him in terms of swordplay and she's just as graceful with her rapier, if not moreso.
In the Street Fighter series, Chun-Li also really counts. While most would associate her with straight-on Action Girl, she moves gracefully and fluidly in each of her attacks. Her fighting style does also quite resemble Tai Chi Quan, and she possesses chi control as shown in her Kikouken or Kikoushou.
Chris Lightfellow, AKA the Silver Maiden, from Suikoden III. Graceful, upper-class and with a social ineptitude that expresses itself as cold arrogance, the Supreme Commander of the army in a country where female soldiers are unheard of. Amusingly, the gang of kids who model themselves after the knights interpret her as the White Magician Girl sidekick to one of her male colleagues.
In Suikoden, there's also Odessa Silverberg, who is quite handy with her bow and since she's born from a family of strategists, utilizes lots of reserve and tactics in combat. It's also speculated that in the first game, her growth rate is somehow the best in the game. Unfortunately...
Super Smash Bros. has both goddess characters fall into this: Palutena keeps a composed stance in the battlefield, something that carries over to her attacks, while Rosalina's style is elegant and dance-like, something fitting with her status as The High Queen.
Jun Kazama from Tekken. She is usually a Mixed Martial Arts user, but it's mainly based on Aikido with emphasis on grace. Personality-wise, she's described as demure and focused, but if pushed far enough, especially if her child is in danger, she'll calmly open a can of whoop-ass to even the Devil himself. Her Spiritual Successor Asuka Kazama also uses Aikido, but subverts it that her fighting style is more direct in-your-face and brash, like her personality.
In Touhou, Sakuya Izayoi is a Meido version of this trope. One just doesn't call her Perfect, Elegant (Ninja) Maid for nothing.
Scarlet Weather Rhapsody brought us Iku Nagae, who fights using a frilly scarf and whose attack poses resemble dance moves.
Raquel Applegate in Wild ARMs 4. A Mighty Glacier with a tragic past, a cool demeanor, and a quest for beauty and friendship.
Mòrag and her Blade, Brighid in Xenoblade Chronicles 2 fit the bill. Both of them are cool, collected mature women who use flame magic and hold exceedingly high ranks in the Empire of Mor Ardain. On more than one occasion, they serve as the female voices of reason within the party.