As for the EXShadow stages, I cannot recall any specific names, but I do recall one that came packaged with Garuda's theme from SFEX2a (it looked kinda like a castle), or something, but no specifics. I just wonder if anyone has a big batch or directory of them.
As for Chen Mao, she looks like this:
She's apparently from some NeoGeo game, but unsure of which one. Juke Kisaragi is the original creator. Please, no edits.