Tanya's probably the type to want to stick with the one who'll win. I bet she's trying to suck up to the strongest thing in the world and get herself a spot in Nazarick.
The illustration source links to the official twitter post publication from (@over_lord_anime) A higher quality version of the source link can be found on the official "Overlord Anime" Website: http://overlord-anime.com/assets/news/132.jpg Shinobu Shinotsuki, who was mentioned in the twitter post as the illustrator of the image, has a Pixiv account: http://www.pixiv.net/member.php?id=77203