Not all of the scenes we (the viewers) see are from the Pensieve.
In the section of the film which deals with Harry's numerous revelations while in the Penseive experiencing Snape's memories, there are some scenes which are what Harry is actually seeing at that moment (Pensieve memories) and others which are flashbacks or shots of related events.
The scene with Harry seeing the doe Patronus is a flashback to an earlier scene in the film. We see this because it's what was crossing Harry's mind at that moment: he sees the scene with Snape, Dumbledore, and the Patronus in the Pensieve, and then for a split second he recalls seeing the same Patronus himself. Because the film is following his thought processes, we share this flashback at the same moment.
As for the scene of Voldemort killing Lily, that's probably just included for drama and pathos, to make this whole section of the film more gripping. If you want it to make sense on a level different from simply "some random crap they stuck in to make the film more exciting", then maybe it's a repressed childhood memory of Harry's own! After all, he was the only other person present when Voldemort killed Lily, and therefore the only witness.