Which Lancer to level up first?

Yup, start with lily for AoE. Then no rush with others since you have tama-chan, but I would level magical girl Medusa next because she's cute and vlad is..not so cute.

Jalter Lily's a good AoE lancer, so it'd be best to do her first. Vlad Extra is lacklustre, and Ana has pretty shit damage outside her NP. If you want a real meme, you could just grail Cu.

aoe since you miss. But i say level up vlad to.
He is quite underrated.
He is a nice semi support / dps. Nice to put in with another good dps if you dont need a second full support (like merlin and mash)

Unless u are planning to get Karna or Latoria, NP5 Jalter Lily is good enough in majority of situation