Madam Zero is an agent with American Intelligence.
Okay, we really do not know that for sure. We know she is an agent. We know she is working for the West because she goes up against the Communists in all three adventures we are told about. We know she steps in and saves the lives of American male operatives several times and is very comfortable around them.
Still, we cannot say for certain if she is American or not. We assume so based on nothing at all.
We cannot say with any conviction whether she works full time for any particular Intelligence group as she certainly never says and no one else in the adventures has a clue.
What we do know is she is fairly young (I would guess late 20s), has wavy blonde hair, is quite attractive, and is incredibly intrepid. She must also be one heckuva actress because in the second adventure, she is leading a band of North Korean guerrillas! Wow, how on earth did she get that gig? She is so definitely Caucasian without makeup but in disguise, she fitted right in with the motley crew.
Since in the first story she is able to briefly fool a (probably) Soviet agent into thinking she was one of them, we must assume a good grasp of the Russian language and in the second and third stories she is deeply entrenched in North Korean goings-on so an intimate knowledge of that language would be vital. Who knows how many other languages, besides English, she knows.
She is also a very good fighter and knows which end of the barrel bullets come out and how to put those projectiles where she wants them. She is decisive and direct as her instantly attacking an American operative to stop him from accidentally spoiling a scam shows.
Lastly, we know that Madam Zero has to have been around a while because when the enemy agent in the first story realizes who she is, he is by no means ignorant of her and calls her by name. Too bad we never knew any more about her.