Unlike some of Penn Yan’s other ghosts (including a local Bloody Mary) the woman in grey is said to be a fairly benign, even helpful spirit.
During the mid to late 1800s Western New York took on the name the Burned Over District for the sheer number of spiritual movements sweeping through the area. Something about the social structure of the area made it prime stomping grounds for revialist groups, spiritualist movements, and what would be called alternative religions now.
Jemima Wilkinson never lived in the Pen Yan/LLoyd area but her work was most certainly connected here. A mystic, Wilkinson was heavily involved in the spiritual discussion surrouding the Finger Lakes region. She made a name for herself preaching about topics such as abolition, suffrage, and sexuality.
Wilkinson is connected to the Olivier House which houses the Yates County Historical Society. Her portrait is housed there, and it is claimed that portrait can never be reproduced. Attempts to do so have failed, repeatedly. More ghostly is the assertion that Wilkinson is still in the area, walking the grounds in a grey dress and helping stranded indiviuals-especially women and children. Some give her slightly less alturistic reasons, citing that the way she was received while alive enraged her so much that she never left.
Spirits of the Great Hill, pg. 83