The origin of the character is to be found in a Howard the Duck story that contained a "mandatory fight scene" between a Las Vegas chorus girl, an ostrich and a standing lamp.
[1] Writing on the CompuServe comics forum, Neil Gaiman said he would like to see that story.
Nevada is a Las Vegas chorus girl with a pet performing ostrich named "Bolero".
One day, reality begins to change; while investigating, she finds herself fighting against a mobster with a lava lamp for a head.
As Nevada is a creator-owned character, she has made no more subsequent appearances.