So I also tried to do Mary's questline early on. You won't need to reset your save. Lucille shows up, if I remember right, in the Church in the Noble District, close to the Stables in the Trade District, and I think in the Gilded Swan.
Unfortunately I can't find her at any of these spots. I assume there must be some conflicting locations between the Lucille and Mary questlines so she isn't showing up at either of them.
