I've actually thought about it a few times. Not Lydie and not just in Castlevania, but damsels in distress in general... They're NEVER turn out to be the final boss, do they? It would be rather fantastic to rescue the princess/girlfriend/whatever, only to find she's already become a vampire. Or that she possibly was evil all along and just wanted to lure you away so that she could kill you off.
I already love HoD, but this would've made it even better. Albeit VERY unconventional (as if HoD isn't odd as it is...). I suppose most heterosexual men wouldn't want it to end with a huge bossfight against the lady you've so desperately been trying to rescue all those hours... Then again, I'm not them. At all.