The singer was admitted to hospital on Thursday after complaining of stomach pain, but - after days of trying - doctors were unable to save her unborn child.
Lily was 6 months pregnant with boyfriend Sam Cooper's baby.
In January 2008, she had a miscarriage while carrying Chemical Brothers star Ed Simons' child.
Lily, 25, has been dating Sam since July 2009.
She was meant to perform at the Grey Goose Character & Cocktails: The Elton John AIDS Foundation Winter Ball 2010 event on Saturday in London.
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