Two days after Anna's tribulation, Lily underwent hers as well, and just like Anna, she experienced some significant changes. Her changes don't pale in comparison to Anna's or Kathy's.
Klaus doesn't know if Lily is one of his past lovers, but he might have held a different opinion of her if he had witnessed her transformation.
Nothing about Earth seems normal...
...Nothing about Klaus seems normal.
Lily became much more beautiful, like Anna, which made her, like Anna, far more confident. They were quite envious of Hanna when she received her new body; however, now they can feel that they have become their own selves.
But while Lily may have become a beauty, something very powerful about her changed—so much so that it even shocked Nari and Queenie, who had accompanied her this time.
After the tribulation, Lily awakened her wind element. It was a great development for her but also marked the point where her danger level rose considerably.