This is actually coming up in my campaign tonight, in like about 3 hours (my party is visiting Sigil, and being a bunch of big PS fans who didn't like Die, Vecna, Die or Faction War, they're curious about how I'm treating it.)
Now, inspired by the good work of the fellows at Planewalker and some past events of a Planescape game our group did about 6 years ago (which my current campaign is a loose sequel to), here is how I'm going to describe it, if anyone is interested.
Vecna somehow managed to escape the Demiplane of Dread, nobody's quite sure how, except that it involved him divesting himself of his divinity and becoming "just" an Epic Level Lich. When he escaped, he fled to Sigil, and used his magic to build a palace to himself in the rubble of the Doomguard's Armory. Then cultists and clerics of his started arriving, the ones who stayed faithful through the loss of his ability to grant spells (but I use the old rule about still being able to get 1st and 2nd level through raw Faith, so his clerics and blackguards weren't helpless). They then started to worship him as a god and were trying to perform some ritual to elevate Vecna to godhood within Sigil itself, taking advantage of the chaos of the aftermath of the Faction War to hope that he couldn't be stopped before he completed his goal. However, the Lady of course took grave exception to this and Mazed Vecna and demolished his palace and flayed his followers well before they could complete the ritual. Vecna's pretty bright, and if he could escape Ravenloft, he could escape the Mazes, so he found his way out, regained his divinity as a demigod (with a few remaining clerics and blackguards) quietly, slinking back to Greyhawk.
Now, in a prior campaign, it was established that "actually" in our campaigns that the Lady of Pain derives her power from her bladed headdress, it is a Greater Artifact (along with the entire city of Sigil) called the "Crown of Blades", and it gives it's wearer all the powers of an overdeity, but only within Sigil and for control of its Portals, it's curse it that the wearer can never leave Sigil after wearing the Crown, and it's method of destruction (along with the City itself) is to be worn by an actual deity (why the Lady prohibits all gods within Sigil, and utterly refuses to be worshipped as one, by becoming a god she'd lose all power).
Now, none of the characters in my current game know that (just the players), and virtually nobody in the setting knows that (certainly no NPC that's going to show up in the game). It's just that Vecna trying to achieve godhood inside Sigil itself is an inside reference to an old campaign we ran.
