Claudius is talking about Calpurnia, the prostitute with whom he was living. In the Author's Note at the start of Claudius the God, Graves asserts that "no character is invented in either volume." He is, at the very least, stretching the point. A person named Calpurnia is, indeed, mentioned by Tacitus as one of Claudius's mistresses, but nothing that he says would allow this profile of her to be built. This is pure (and glorious) fiction.
Claudius's statement that he took Calpurnia into his confidence and never regretted it later becomes significant, although its full relevance is only clear when the two books (I, Claudius and Claudius the God) are considered together. Here Calpurnia is shown as politically and financially astute, predicting the disaster that Caligula's excesses will visit upon Rome long before anyone else does. Her preference for cash rather than Claudius's offer of a pearl necklace will later take on an element of poignancy.