That's Skip Haverty! They're a Big Finish companion of the Eighth Doctor.
The abbreviated version of their backstory is that they're a human/fish-alien hybrid living on Ipperin IV, a recently (well, several decades ago) colonised planet found by refugees fleeing the Cybermen. They are extremely bitter and cynical because of their social isolation (due to being a hybrid). They meet Eight when the Cybermen invade, and become his companion at the end of the invasion, where they realise they have nowhere left to go.
They're such an interesting character. They have breathing problems due to being half mammal and half aquatic, are canonically queer, and also ostensibly non-binary (though, given that they were created in 2002, they canonically use she/her pronouns and identity as a woman.) They go through a ton of character development, and end their run a completely different person than they were at the start. Their relationship with the Doctor goes to really interesting places, too. If you're a fan of 'Doctorified' companions, you will love them.
The story you're referring to is A Frost in Hell, which has some backstory behind it, but the synopsis is that Skip gets stuck in a dying alternate reality in the 20th century, where she meets Margaret Thatcher. (Not really this reality's Thatcher, but actually an alternate universe version of her. She still sucks, but to a lesser degree.) Skip, who is desperate for comfort because of being separated from the Doctor, ends up striking up a sexual relationship with her, that also turns beneficial, as Thatcher helps her investigate how she can escape this alternate dimension and return to the Doctor. I won't spoil it - it's a really raw audio, and I think it's best listened to with no expectations for what it will be - but let's just say, since nobody remembers 'alternate Margaret Thatcher' being a companion, that it doesn't end with them all going into the TARDIS holding hands.
The audio is great, but if you are interested, I'd advise going through the whole Skip Haverty run to understand where Skip is at emotionally. The first audio, Graves for Rotting Fishmongers, is available for free online if you look it up, and I think it definitely hooks the listener in. You might need to dig a bit, since I can't put the link here, but it's up there somewhere.
OH MY GOD THANKS FOR THE ANSWER!!!! I was so confused hahaha
Maybe once I’m done with second doctor I’ll watch the movie and then listen audio dramas!!! (Have a thing where I need to start from beginning 😭💔)
Tysm king/queen/what u are
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