No, there never was a manga. If you want to understand El Cazador better, I can only recommend watching Noir and Madlax, if you haven't already

Lirio remains a mystery throughout; but besides being a fun foil for Ricardo and a visual nod to Mirabelle of Wild Arms, she doesn't seem to have much significance. I agree the speaking part makes one think that she's more important than one might have assumed previously, but in the wide context it appears to be a creative anomaly.
You're right about most people here having seen El Caz, but if you're worried you can always insert a
by clicking the "Radioactive" button on the lower right of the kitchen sink there.
I'm agreed with Kari as to the "dreamscape" being largely fictional. I think I mentioned elsewhere (or in chat) that my own opinion is that their meeting as children signafies a depth to their relationship which may not have existed previously. But I certainly don't think that they actually *had* met as children, ie in any historical sense.
El Cazador really didn't do as good a job as it could have with tying up loose ends (you could add Nadie's flashback in episode two to the above, for instance). But I'm willing to forgive that on the basis that it's comedy and, imho, one really shouldn't *expect* them to have a really *solid* plot when they're busy making Noir jokes and getting Aya Hisakawa as many lines as is humanly possible (yay!).
As it is, it's a very amusing spaghetti western style series with a plotline that won't let you fall asleep.