Just as Baron
So-and-so is a title
but the person holding it is always referred to as Lord
So-and-so, not Baron, so a baroness is referred to as Lady
The exception is women who are created life peer. They are called e.g. Baroness Jay, Baroness Thatcher, to make it clear they hold the title in their own right, because the style "Lady So-and-so" does not make this clear.