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REMEMBER THAT BABY AT THE BEGINNING OF MALEVOLENT THE OLD LADY WAS HOLDING
what if her mom had died and wasn't in the town

WHAT IF ARTHUR AND JOHN ADOPTED HER
i have no idea how she survived the Kellin incident, but she did
she is brought into the hospital with Arthur and it is assumed that he is her father. shes kept there wherever they keep infants, and as a part of Lucy's job,she would bring the baby in there sometimes, or talk about how the baby was.
john is now slowly attaching himself to this baby, she and Lucy helped him gain humanity while stuck for a month while Arthur is in a coma
before escaping the hospital John makes Arthur grab the baby

and they skedaddle out of that joint.
they name her Lucy after the nurse.

arthur thinks the hyphen in the last name is gaudy, but if john likes it then he will settle for it. he does giver her the middle name Bell though Lucy Bell Lester-Doe
and thus the "Lucy Au" is born