Newbie and Robert: Italy, yes, I think it's interchangeable. It could be translated either way. Technically 'lady' and 'woman' mean the same thing. But in American English, 'lady' has acquired some negative connotations that are difficult to explain to a non-native speaker. "Lady" can imply someone older (which some find offensive because they are silly!), or even imply something like "lady of the night" (an old-fashioned term for a prostitute). It's not terribly polite to call someone a lady. A child might refer to an unknown female as a "lady", but if you are talking about a specific person, "woman" is far preferred. In current, 2016 American English, a grown woman is even more likely to be called a "girl" than "lady". I am speaking of very very minor differences. A strange idiom. It's almost like slang. No one will be offended if you are a non-native English speaker and say 'lady'. (Oddly, "ladies" is ok for a group of women. That is another discussion!) I am sorry if this is too detailed for this board. I'm new. :)
@ JamesIainC , I'm no good at hearing the language when spoken rapidly, so maybe it is easier to each of the two words alone, to start. It's a slight difference, 'eh' or 'ah' each pronounced with a cut at the end, not quite a full syllable. Almost like if the vowel e "ehhh" vs "ahhh" but that syllable is cut off abruptly. I think it is the speed more than the actual sound, and that does not have a good counterpoint in the English language.
I also think the syllable cuts off just a little shorter in 'donne', also. I'm talking tiny differences, though. If you're trying to speak, I don't think the listener would mind too much if you emphasized the EH or the AH, either one slower, to make yourself clear.
That's the best I can explain the sounds. Sorry I have no recorder for you.
Now, if you're listening to rapid talk... Well all I say is.... good luck! :D