Curse of the Crimson Throne
The Gray Maidens were founded in 4708 AR by Queen Arabasti of Korvosa in the chaos following her ascension in order to secure a military force that was loyal only to her. Members of all the other military or militia units in and around Korvosa (including the Sable Company marines, the Order of the Nail, and the Korvosan Guard) were under the command of individuals whose loyalty to the new queen was questionable. The entire organization was under the direct control of Sabina Merrin and was largely assigned to assist and protect the plague doctors scattered around the city attempting to combat the blood veil.
An extremely unreliable witness placed them as companions of the necromancer Rolf as well. In addition the Queen herself suspects several of them have become entangled with a possibly corrupt plague doctor who are spreading the blood veil rather than combating it. This all proved true and it seems that even the queen feared some of her maidens had turned against her and were secretly working to bring ill to Korvosa.