I guess you just don't know people as well as you think you do. You miscalculated. I love Zuko... more than I fear you.
Mai was a childhood friend of Ty Lee, Azula and Zuko and later on went to attend the Royal Fire Academy for Girls with Ty Lee and Azula. She had an obvious crush on Zuko when they were young, and Zuko seemed to have mutual feelings for her. This was evident when they both got embarrassed during a game in which Mai was knocked down into a pond with Zuko.
Mai was first introduced as the Governor's daughter of “New Ozai” (formerly known as Omashu) in Book 2's "Return to Omashu". Mai comes off as emotionally distant and uncaring, but this was in large part due to her upbringing. Mai remained silent and well-behaved, as her father's career was on the line. This always made her terribly bored and eventually led to her throwing knives at walls and becoming proficient at it. Her weapons in battle are her knives and stilettos.
When Zuko is welcomed back to the Fire Nation in Book 3, they are seen together as a couple publicly. After Zuko left her to join Team Avatar, she still turned her back on Azula in order to allow Zuko to flee with other prisoners from the Boiling Rock prison. She did this because her love for Zuko outweighed her fear of Azula. After Ty Lee saved Mai from Azula's wrath, they are both locked in a prison cell.
In the show finale, Mai and Fire Lord Zuko embrace after she tells him "to never to break up" with her again. Afterwards, she and the rest of Team Avatar are all enjoying the peace at Iroh’s tea shop the Jasmine Dragon.