Little is known about Saber Lily, aside from the fact that she is officially another version of Saber. Fans speculate that she is quite possibly the direct opposite of Dark Saber from Fate/Hollow Ataraxia, but there is no real history behind her appearance.
None that we know of as of yet anyway.
Beautiful cosplay! Looks like it was done in a private photo shoot, since Saber Lily’s costume looks really hard to move around in. Thank you very much to Still Doll for sharing this!