*SPOILERS* SEASON 2 ENDING DISCUSSION
Just a warning this theory has spoiler from the game and comics.
Kenny - I don't think it was Kenny for two reasons. One being that Clementine is shocked when she sees I Though You Were Dead Guy, and i think she would be pretty happy about seeing Kenny. And two that, Clem wasn't with the group when Kenny presumably died. How would she know that he's dead? I mean Cristha and Omid could've told her that Kenny died, but i don't think they did.
Molly - It can't be Molly for two reasons. One, remember that Molly said that "She's better on her own"? So she would't be with a group. And two, there's no reason to Clem think that Molly is dead.
Lilly - She's presumably the woman who killed off the governor in the comics, and it's now leading a group of people. If she IS that woman, I think that the group is actually looking for supplies for Lilly's group.