The origins of this Middle Eastern assassin are shrouded in mystery. And she prefers it that way. Her backstories are numerous--and one of them may even be true. But the only member of MAYHEM with insight into this woman's past is another secretkeeper: Persephone Brimstone.
Scheherazade's mayhem ability, Stealth mode, causes her to go into a full assassin mode and become invisible without cooldown. During this time, she inflicts additional damage with stealth attacks and she gains a stack of Empowerment for every kill she gets.
Scheherazade's Killer Kold agent skin and Absolute Zero weapon skin are most likely references to Sub-Zero and Frost from the Mortal Kombat series.
Scheherazade's Terrapin Terror agent skin and Sewer Strikers weapon skin (from the Legal Action Pending DLC) are no doubt a reference to Leonardo from the Teenage Mutant Ninja Turtles series.
Scheherazade's Reptile Eyes agent skin and Cold Slitter weapon skin (from the Firing Squad DLC) are presumably references to the character Snake Eyes and the band Cold Slither from the G.I. Joe series.
It may be possible that Scheherazade may be aware of the previous timeline in Saints Row, as during a conversation with Kingpin, she references him being the mayor of Steelport, a star in Gangstas in Space and traveling across time and space, whilst fighting a giant energy drink. These are references to scenes in Saints Row The Third and Saints Row IV
According to Safeword, Scheherazade has 637 aliases that she is aware more, to which Scheherazade teases that there are more than a thousand and one aliases.
Scheherazade's line is a reference to One Thousand and One Nights.