Feng works in the Cirque des Cartes as a talented acrobat. The white and black "pigtails" in her hair are actually the long tail feathers of two birds that rest on her head. All that is known about them is that they were summoned through a lucky mistake of geomancy.
Feng is featured largely at the beginning of Cerebella's story-mode as they talk about their circus acts.
When the Skullgirls Indiegogo fund raising campaign went above and beyond expectations, stretch goals for 2 fan voted DLC characters were hit, and Feng was revealed as one of 32 characters for fans to pick from.