Now, Lex had been watching Liz the entire time he was inside Abaddon, so he knew some of the shenanigans she had been up to. Not that he was spying on her or anything - no, Lex had a respect for people's privacy. But when his sister went around hugging a peak level Celestial Immortal cultivator, he had a right to look into the matter.
As it turned out, the little girl that Liz was pulling into the Chamber of Secrets was not actually a little girl - she just appeared that way to Lex. But when he observed her through the system, he knew that she was actually a sentient stuffed toy. Or, well, that's what he thought. Turned out she was a member of some race called the Rosy Bears who incidentally just looked like stuffed toy bears.
Levi, the Rosy Bear that Liz was pulling along, was hiding her identity by changing her appearance to look like that of a young human girl.