We had one of those absolute record-breaking freezes in December 1990 and another one a couple years ago. I had orchids outside both times.
In 1990 I had nowhere to shelter them except under an avocado tree on a concrete patio, so I
1) gathered the orchid pots together so they were touching
2) watered them at bedtime with warm water
3) draped a sheet over them and held it up with sticks placed into the orchid bark
4) ran a long, heavy-duty extension cord (well, 20 feet) and powered a small heater to them.
They all lived.
Now, I don't expect that you can run the extension cord out to the lilies, but maybe you can water them with warm water after dark? And lift up the protective sheets with sticks stuck firmly into the ground?
In December 2008 I was much luckier. We now have a carport where we live. I evicted my car from the carport and moved the orchids underneath. I had to remember to water them, though: even though we were struggling with a freezing rain, the orchids would have been bone-dry without my watering!
Weird, but true with carports (and garages, but never in my adult life have I had a garage).
Maybe the warm water will help.
Sunset Zone 17, USDA Zone 9