] Lady (plus her husband's given name) is the wife a the younger son of a peer, like Lady Peter Wimsey or Lady Randolph Churchill (Winston's mother). Both were the wives of younger sons of Dukes.

Only works if the younger son actually has a title. Peter Wimsey's title is "Lord"... he holds it in his own right, and it belongs to him, whether his father and brother are duke or not. Therefore, his wife (who does not have a title of her own) is Lady Peter. If she had her own title, she'd be Lady Harriet.

You are right that Lady Catherine will always be Lady Catherine, whether she married a Baronet, a Knight, or a plain Mr., UNLESS she decides to abandon her title. However, the title is hers alone, and she cannot pass it on to he daughter. Anne is Miss de Burgh, and remains Miss de Burgh unless she marries a peer.

Colonel Fitz doesn't seem to have a title. Just because his father is an Earl, does not automatically make him a "Lord". He is plain old Col. Mr. Fitzwilliam, if you go by what is in the book. His wife, if and when he gets one, will be Mrs. Fitzwilliam, plain and simple.