Diana is the Roman goddess of hunting and the literal equivalent of the Greek goddess Artemis. She also represents wildlife and the woodlands, as well as being the symbol of female fertility. Her appearance in Strange Journey may be a reference to the Diana of Ephesus.
Diana is the Persona of Megumi Kayano. Megumi had her Persona awakened since she was young, but did not trust the Persona. It attacks using its bow and arrows.
Shin Megami Tensei: Strange Journey
"A mother goddess in Roman lore, she is the goddess of hunting and the equivalent of Greece's Artemis. Diana is often pictured with a deer at her side and is also known as the goddess of fertility. She is an eternal virgin and has her followers take a vow of virginity. Later Christian influence led her to be named the Queen of Witches."