I don't if this has been mentioned elsewhere, but isn't it possible that the Mistress, if Shalash, is also Shashara from Warbreaker? Shashara is credited with many acts of creation on Nalthis, and associated with Vasher - who was also a worldhopper.
EDIT: I realized that since Vasher killed Shashara this would, in fact, be impossible, since she could hardly then be running around on Roshar. Whoops! I still think the main theory holds