The Collaborative International Dictionary of English v.0.48:

memsahib \mem"sa`hib\, mem-sahib
\mem"-sa`hib\(m[e^]m"s[aum]`[i^]b), n. [Hind. mem-s[=a]hib; mem
   (fr. E. ma'am) + Ar. [,c][=a]hib master. See Sahib.]
   Lady; mistress; -- used by Hindustani-speaking natives in
   India in addressing European women.
   [Webster 1913 Suppl.]

WordNet (r) 3.0 (2006):

memsahib
    n 1: a woman sahib