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At the end of the first season of Penny Dreadful, we see Dr. Frankenstein

kill Brona, to create a bride for his first creation, Caliban.

In the second season, she is introduced as his cousin, miss Lily Frankenstein. He tells her she has been in an accident and suffers from memory loss.
Caliban is introduced to her as Mr. John Clare, her fiancé.

However, later in the season, in a soliloquy in the presence of Caliban, she reveals she knows Victor to be their creator.

When and how did she find out?
This isn't shown in the series up to that point, she just suddenly seems to know.

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In the finale of the second season, Lily says to Victor

Please, creator. You've made me too well for that.

Yes, I know. Always have.

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