The red-haired singer - who grew close to the pop star when they toured together last year - is terrified about The Missing camera, which contains some "amusing" images of Lily during a "drunken" night out in Dublin.
She said: "Lily is a good friend. We had a night out in Dublin, which was amusing. I took some drunken pictures on my camera which I then lost. I was really worried someone would find the camera and sell the pictures - I'm still waiting for them to turn up. Luckily they weren't of me!"
The pair teamed up for Lily's UK tour in March last year.
Lily is currently in hospital being treated for septicaemia following the tragedy of her losing her baby.
La Roux comes from a famous family - her mother Trudie Goodwin starred in British TV show 'The Bill' and her father Kit Jackson is also an actor - but admits she never grew up surrounded by celebrities.
She explained: "My mum was like me and wasn't really a fan of hanging with celebrities. Obviously there are certain people who you get on with, but there's others who go out and seek social time with celebrities - it's not something I've done or been taught to do. I've still got exactly the same friends and hang out in exactly the same places. I never went into this industry to change my life or to make my life better. I just wanted to make music."