Wherever Madame Nhu lives today, it can't be half as glamorous as the place she left behind. Ousted by a 1963 coup that resulted in the assassinations of her husband and his bachelor brother, President Ngo Dinh Diem, the first lady of South Vietnam -- now reportedly living in Paris -- sacrificed a 100-room palace that Diem commissioned but never used. Still standing in the middle of Ho Chi Minh City, Reunification Palace is the sexiest building in Southeast Asia. And yet, despite the fame of its French-trained architect, Ngo Viet Thu; the dragon-lady reputation of Madame Nhu (Life called her the most ''devious'' beauty ''anywhere east of Suez''); and the breathtaking folly of its wartime construction, the White House of South Vietnam remains an edifice obscure.