Madonna as portrayed on the canvas is an allusion to Venus and Psyche. In this painting it is easy to see the merging of both these allegoric figures, especially of the latter.

Psyche: Greek word signifying soul.
 
The myth of Psyche is narrated in the book The Golden Ass by Apuleius who describes her as a beautiful mortal for whom Eros, the god of love, falls in love.  Psyche is so beautiful that Venus, goddess of beauty and love and mother of Eros, becomes furious because men stop worshiping her and start worshiping Psyche, a mere mortal.
 
The goddess orders her son to strike Psyche with one of his arrows thereby forcing her to fall in love with the ugliest being alive.  But, contrary to Venus’ desires, Eros ends up falling in love with the young woman after being accidentally pierced by one of his arrows.
 
Since Eros falls in love with her, he no longer uses his arrows against her.  Time passes and Psyche still doesn’t fall for anyone, nor do any of her admirers become her groom.
 
Therefore, Venus realizes that she must use more powerful measures.  She makes up a story  saying that she has lost some of her beauty by tending to Eros’ wound and asks Psyche to go to the Underworld (Hades or Elysian Fields) and ask Persephone for a little of hers.  Venus is certain that Psyche will not survive the trip. Once again, the goddess is wrong. Psyche convinces Persephone to fill a small box with her beauty to give to Venus.
 
On her way to deliver the box to Venus, Psyche begins to think that her beauty has suffered from so many jobs and gives in to temptation.  She opens the box only to find it empty except for the eternal sleep that overpowers her.  Eros, who is now cured of his wound, goes to his lover’s rescue.  He puts the sleep back in the box, wakes Psyche, and makes her take the box to his mother.
 
While Psyche is delivering the box to Venus, Eros looks for Zeus and asks to be wed to Psyche.  Zeus grants his request and later Psyche becomes immortal.