I said this before but now my theory is even stronger~
I'm positive Lily "saved" Fii from the Prince, taking the bullet for her on purpose to free her, knowing how miserable she was. Lily is "L", and I'm pretty sure she is Fii's reincarnated brother. I think her brother's knowledge of the story is most likely because of Fii (I'm guessing either Fii talked about it before and he overheard or he went through her belongings after she died and found it?). Lily praying for forgiveness in the church might be her brother either feeling really guilty for treating Fii the way he did in her previous life or just wanting to leave Lily's body because he's miserable lol.