I really dislike both, though.
Lily sounds treacly to me;
Lyra sounds strident. I'd ultimately opt for
Lyra because it's fresher than
Lily.
They don't work as sisters for me -- the names feel quite different.
As for combinations, I'd consider
Lily Winifred Elsa,
Lily Cosima Elsa,
Lily Agatha Elsa, or maybe
Lily Rosamund Elsa.