The all important story of Goddess Uma Haimavati is found in the Kena Upanishad. She is an independent Goddess higher than Agni, Vayu and Indra. In Taittiriya Aranyaka she is mentioned as the wife of Rudra.
Legend has it that the Devas one time defeated the Asuras in war and became puffed up with pride. They forgot that the source of their might was Brahman, by themselves they were just nothing. However forgetting the truth they started bragging about their own might and how they overpowered the demons with their strength.
To bring gods to their senses Brahman appeared before them in the form of a yaksha. Devas deputed Agni, the god of fire, to find out as to who he was.
Agni went up to him and started bragging about this immense power. Brahman threw before him a dry blade of grass and asked to burn it. Agni used all his fiery power but could not burn the single blade of grass. Accepting defeat he returned to other the Devas.
Vayu, the god of wind, came to find out who the Yaksha was. He too bragged about his might but failed to more the dry blade of grass in front of him.
Indra, the king of Devas, then decided to find out who the mystery of Yaksha. But the Yaksha was no longer to be seen. In his place stood Uma Haimavati.
She told Indra that the Yaksha was none else but Rudra Shiva and he appeared before the Devas to smash their false sense of pride.
Uma Haimavati then gave Indra Brahma Jnana and explained to him the true nature of Brahman. She told him categorically that nothing happens without his desire.