I'm not really sure why Lily would be having same level of danger as Quinn or Riona, first unlike then she was just a customer. And she has 0 loyalty for Quinn would throw her under the bus the minute threat looms on her or her stripper sisters.
She already said Quinn has a week to do deal with this mess or she is going back to buy from Vinny.
Do you really think harming her would make Lily buy from him?
Plus Quinn painted a huge target on her back at the end of episode 11, dealing with customers might be the least of their worries. Now probably Buddy/Vinny don't know where Quinn is hiding it just paints bigger target on Riona's back in case Quinn's plan failed.
Because she double crossed Vinny. She went across territory lines to buy from Quinn at a much cheaper rate to his jacked up prices and then bring it back into his territory. He's pissed that one of his best incomes, the PR girls, stopped buying from him and his profits took a dive and so this meant he was losing more money to Buddy. He pretty much suspects/knows what they did so Lily can't throw anyone under a bus since he already seems to know what went down. So his "buy from me again or else" has to be taken seriously by her because she has no leverage against the threat here.
But she's in some potential danger here primarily because of Quinn's recent actions. She will have likely made sure all the ones she wants arreted were in there when she called the police, hence the binoculars and her "stakeout" room. However, if Vinny manages to get away he could suspect Lily of being behind it because of his threat and go after the girls. He might not even suspect Quinn of doing it because this, to him and to Buddy, would not seem like something she'd do, and so the targets for who could have, in Vinny's mind, would either be Lily or Rio.