Did you penetrate her during the sandstorm
For her to not be lost, you need to hit all the points... Let me elaborate, all you have to do is to have a correct path so that she won't lose path... As you can see from the medieval portal where Dalia and Orion is in the cell, there is a question that Dalia talks about a private island... From there, if you don't get her to say the password that means there is a question where you made a wrong desicion... For example: in the beginning when Dalia and Penelope was introduced there is a question and you have to answer "don't ask anything in return" (idk if this is right I forgot the exact sentence) and there are much more decisions to get more points... So this means you have to go back in the previous scenes where you have a wrong decision..