The Story of Vex
Vex is a yordle who ended up in the Shadow Isles — specifically in the Black Mist — because it was, by her assessment, the most appropriate place for someone with her disposition. Yordles are supposed to be warm, curious, and communal. Vex is gloomy, antisocial, and genuinely delighted by doom in ways that made her an outlier in Bandle City long before she found her way to the most miserable place in Runeterra. The Mist suits her. Everything there is appropriately unpleasant.
Her magic works through shadow — her own and the environment's. She can manipulate darkness as a physical force, project her personal shadow as a weapon, and pull dark energy from the environment around her. In the Shadow Isles, this makes her significantly more powerful than she would be anywhere else. She is aware that the Isles are technically a horrifying realm of undeath and existential despair. She considers this a feature.
She was recruited by Viego during his campaign to restore his dead queen, which provided her with a purpose that aligned with her existing preferences: helping with something deeply dark and doing it from an appropriately gloomy environment. The fact that Viego's plan went catastrophically wrong and ended with her in a considerably more complicated situation is, she acknowledges, annoying. She is dealing with it. By which she means she is sitting in the dark and being quietly furious about the interruption to her preferred gloom.