Perast, Montenegro - Dark Clouds over Our Lady of the Rock - Photo © www.YenBaet.com. Our Lady of the Rock is one of the two islets off the coast of Perast in Bay of Kotor. A local legend says the islet was made by sailors over the centuries. After finding the icon of Madonna and Child on the rock in the sea on July 22, 1452, they all made a solemn oath to build an island. So they all threw a rock in the bay after they have returned from each voyage. Over time, these rocks formed an island.