I think I figured out the whole plot/Nerissa&Faith thing
Let's start from the beginning, shall we?
The death of Faith happened BEFORE our little, eh, altercation with the Woodsman. Basically Faith, Lily and Nerissa wanted to leave the Pudding & Pie, they came up with a plan. But then Faith stole a picture of Crane and Lily hitting it off. So Nerissa told Georgie everything thinking that he'd get the Crooked Man to lay off, and begged for mercy for all of them. So George promised to smooth thing over with the Crooked Man. The photo of Faith and Nerissa talking/arguing about something in the Sheppard Metalworks, i'm guessing was that Faith had a feeling that things wouldn't go well and she might die, so she tried to convince Nerissa to do the switch (basically Nerissa glamours herself as Faith and Faith glamours herself as Nerissa)(You know Faith's story, "she had hidden her beauty to escape his kingdom"). Probably Nerissa didn't like that so they argued about it, but eventually Nerissa gave in and went along with it. So a little later, George comes back and says that things had changed and explained it all to Nerissa (Faith) and Lily, then Faith (Nerissa) walks in, and there goes her head. So after that, Lily had an appointment with Crane i guess, and couldn't really go to the Woodsman's appointment at that time, so she asked Nerissa (Faith) to fill in for her. So on the way there, Nerissa (Faith)'s glamour started to wear off, and by the time she got there, the Nerissa glamour completely weared off and she looked like herself again. Then that whole thing happened, you know the story. Fast forward to when Bigby falls asleep. Faith needed someone to know about the killing, to make all of this shit stop once and for all. So then Faith got back in her Nerissa glamour and put Faith (Nerissa)'s head at the doorstep.Then i dont know how long later, but Snow finds the head and tells Bigby immediately, and they investigate and Snow sends the severed head to Swineheart to run some tests.
Now the Lily death. After Snow tells Crane about the head, and Crane acts like a dick to her and Bigby, he says "Call Vivian right this minute and let her know I'm coming in early for my..massage". So when Crane leaves the business office, he goes off to do the nasty with Lily, but either the sex must've been a long time or they had two appointments back-to-back. Anyway, Georgie sees Lily come back glamoured as Snow and George is like "snow? df you here for?" so Lily explains to him that it's actually her glamoured as Snow. So then, Georgie explains that it's the Crooked Man's order or something, and he has to kill her or something like that. So Lily is like "NO." and tries to fight back, but was overpowered and had her head cut off. Georgie then was like "i gotta get rid of the evidence before anyone finds out" so he calls up Jersey and tells him they need to get rid of the body. They go to a river, the same river TJ likes to swim at, and then TJ hears them coming and got scared and didn't stay under the water. So they throw Lily's body down the river with cinderblocks tied to her ankles. Then Jersey starts laughing and Georgie's like "Stop laughing at me."(proof: when you get to the outside of the door to the crooked man's lair in ep.4, you hear Jersey laughing and Georgie says "Laughin', laughin', you're always fucking laughin'. Am I some kind of a fucking joke to you?") . So TJ got scared and went under for as long as he could. Meanwhile at the Pudding and Pie, Faith walks in and sees Lily's head (glamoured as snow) on the floor and is like "oh no." and puts it at Bigby's doorstep once again, in hopes of him investigating that too. So basically, in episode 2-5, Faith was glamoured as Nerissa and tried to point Bigby in the right directions, even though those damn ribbons were keeping her from being direct with it. Then when Bigby figured out who's the killer, and him and Nerissa (Faith) had that talk at the end, when she was walking off, she kinda hinted that "hey, im not actually nerissa. It's been faith the whole time". So something clicked in Bigby's head and you can choose to go after her or let her go.
That's just my theory. I could be wrong, but idk. What do y'all think?