Sounds like Monstress to me.
Edit: The preview on Amazon has the first few pages, which include the auction and the woman entering.
I don't have a strong sense of what you've read, outside of "a lot". Aaand I see that my first "lesser known" book I thought of has 8600+ ratings on Goodreads. Hmm. Well, I'll start there anyway, I'm a mad lad.
Bridge of Birds by Barry Hughart. So heckin' good, and even though bad stuff happens it's got a lighter tone than a lot of the stuff I read.
The Tiger's Daughter by K Arsenault Rivera. Full disclosure, I'm not 100% of the way through this one yet so technically idk if it sticks the landing. But so far it's a neato epistolary novel about demon-fighting lesbians.
I can't imagine you've somehow avoided knowing about it, but the Craft Sequence by Max Gladstone is so dang good.
I'm linking directly to Amazon this time, because DANGIT I WANT PEOPLE TO BUY THIS ONE - Monstress by Marjorie Liu and Sana Takeda. If you read comics/graphic novels this one isn't really lesser known either, but seems like most of the sub doesn't? Literally the ebook version is $3.99, SOMEBODY LISTEN TO ME WHEN I TELL THEM TO BUY THIS ALREADY.
Ahem. Sorry. Anyway. City of Stairs by Robert Jackson Bennett does get some love on this sub, but it should get more. I'm temporarily on a pause for this trilogy because the second book kinda lowkey broke my heart in places (but was still really, really good) and just the blurb for the third book suggests it might turn that up to eleven, but I really need to get back to it.
You know, I'm just not going to pretend that I'm coming up with lesser-known books anymore. Hyperion by Dan Simmons is amazing. The Canterbury Tales but as far-future Sci-Fantasy works so much better than it sounds like it would. And if it sounds like it would work well to you, be advised that it still works so much better than it sounds like it would.
I will close out with a book I will recommend because it is a book that I always recommend; Child of Fire by Harry Connolly is some of my favorite urban fantasy. I'm not really sure how to describe it. Grimweird is a term I just made up that seems like it kinda fits? I dunno man, words are hard. But I do especially want to recommend this one because the author is trying to bring the series back and I really want it to work, because I loved these books.
*Edited to fix links
Oh my I really need this now. But spent my budget on pre-order of Saga and Monstress graphic novels. Are you at all into graphic novels? Cause these are both great!
There is also B**** Planet which is a love letter to feminism
https://www.amazon.com/Monstress-1-Awakening-Marjorie-Liu/dp/1632157098 Amazon.com: Monstress Volume 1: Awakening (9781632157096 ...
https://www.amazon.com/Bitch-Planet-Vol-Extraordinary-Machine/dp/1632153661 Amazon.com: Bitch Planet, Vol. 1: Extraordinary Machine ...
The author is actually Marjorie Liu, with the artist being Sana Takeda.
Here's the Amazon entry, if that helps: https://www.amazon.com/Monstress-1-Awakening-Marjorie-Liu/dp/1632157098/