The Valkyrie was a messenger of Odin.
It was the Valkyrie's task to escort fallen warriors to their reward, Valhalla. But while collecting the dead, she came across a warrior who was still alive: Prince Jon. They fell in love, and swore their love to each other. The Valkyrie took him to Valhalla, where Odin soon discovered their affair. He banished Jon, who would only be able to return if he died a heroic death. As an extra punishment, he made him invulnerable from metal, wood, fire and water. Then, Jon knew far too well he and his Valkyrie would never be reunited.
In Norse mythology, the Valkyries choose the top half of the slain warriors to train with Odin for Ragnarok (the other half goes to Freyja's Fólkvangr to do the same). The concept of romance between a valkyrie and a (living) mortal is not uncommon (and not frowned upon by Odin): the love of Sigrún and Helgi spans several stories, especially both Helgakviða Hundingsbana I and II.
The story of Jon and the Valkyrie is adapted in Joe Kubert's style from the Viking Prince's origin in Our Army At War #162. The valkyrie is not given a name in that comic, only referred to by Jon as "my Valkyrior-maiden".