Lord Fool was a bug who oversaw the Trials at the Colosseum of Fools. While he appears to be long dead as of the events of Hollow Knight, his corpse still remains seated on the throne in the Colosseum as if observing the Trials.
Little is known about him aside from his appearance, and the fact that he was powerful enough for the warriors of the Colosseum to respect him.
The Little Fool does not seem aware of Lord Fool's demise. The crowd in the arena is either unaware or simply does not care.