It's not Lady nor Nero, namely because they didn't exist back then. It's not Trish ether because if it was they wouldn't show that scene, they had no interaction and her arrival is of no importance to Lucia, so why would they show that. It's Dante.
I think this is a perfect example of why we see a lot of these plot holes, this innate need to look for deeper meanings and questions that aren't there. Somethings are ether obvious or plainly left as obvious implications but instead of recognizing them we go with 'but what about this part?' or 'no, because we didn't actually see it' and the like. With this tremendous amount of nitpicking it wouldn't really matter if the series were full of plot wholes or not we would make them or make them up. This series not only suffers from been made by too many different people who insist on changing the protagonist and the story telling format but it also has a fan base that constantly goes 'yeah, but...'