Such a reveal makes plenty of sense because Arrow has been down this road before. In Season 2 Oliver spent much of the first half of the Deathstroke story arc hunting a mysterious woman in a blonde wig who had taken to the streets to fight men preying on women. Eventually, the storyline paid off in a major way, as the show revealed that Sara Lance was not only alive after the sinking of the Queen's Gambit, but she had taken on the identity of The Canary after receiving training from The League of Assassins and Ra's Al Ghul. The narratives are obviously not completely identical, but it shows a pattern; you do not tease a mystery character and then let audiences down with the reveal of someone entirely new.