Rally is the head of the AMP, the force dedicated to destroying the Lucifer Hawks, a race of demons who are bent on destroying Earth. She is the result of a Lucifer demon breeding with a human female, which has made her incredibly powerful. However she uses her powers to defeat the Hawks, rather than side with them. She set the AMP up in 2024 when the demons first became known to the authorities in Tokyo. She also convinced Katsumi Liqueur to join the AMP as they needed the powers locked inside her to combat the demons.

She also has a sister, Rosa Cheyenne, who sides with the powers of Nemesis. Both Rosa and Rally were persecuted as children because of their strange powers. The other children would call them things like "Devil Child". While Rally chose to stay amongst humans, Rosa was tempted to join the side of the Lucifer Hawks, who "understood" her. Relations between the two are rather soured, especially as Rosa tries to get to Rally through her subordinates. However Rally is not afraid of fighting her sister when she has to, though she takes care not to kill her.

Rally sometimes seems very aloof but that is because she has a massive amount of responsibility. She does care for her officers and is willing to sacrifice anything to protect those around her. She also runs the huge Cheyenne Corporation. Towards the end of the series after Katsumi Liqueur's disappearance, the companies who run the Police shut down AMP, as Lucifer Hawk attacks have dwindled. However Rally uses her massive influence to buy a controlling stake in the Police, allowing her to reactivation AMP as a separate, independent organization, as well as ensuring the co-operation of the other departments.