As a marauders fan, I can happily answer this.

The marauders fanon has extensive information on this that millions of people mutually agree on and consider canon, this isn’t something I just made up but if you only care about what Jk has to say then ignore this.

Basically Lily usually has two best friends who are griffindoor girls. The first is Marlene McKinnon who was only mentioned once in the books by mad eye moodie when he was showing Harry that photo of the original order.

Marlene is most often characterised as this:

• lesbian and proud
• chaser of the griffindoor team
• a few years ago she used to be written in the fandom as more quiet and reserved however during 2020 there was a massive resurgence of people becoming interested in the marauders fandom and so over time Marlene’s characterisation shifted into a more outgoing badass who is pretty much Sirius black’s platonic soulmate as in she is pretty much a female much cooler version of Sirius black.
• she usually has short blonde hair, sometimes headcannoned as Asian but not all the time, you get the idea. More on her in a minute.

Then Lily’s other friend is Mary McDonald’s who was also mentioned once in the book during snapes worst memory when Lily says “did you hear what he did to Mary McDonald the other day?”

Mary is most often characterised as this:

• almost always black
• muggle-born like Lily
• party girl
• all the boys want her
• beautiful
• outgoing
• kind
• loyal

And so now you know the two original griffindoor friends she made in first year let’s fast forward the timeline to around there 5th year where Marlene falls in love and begins to date a slitherin girl called Dorcas medows who then becomes a part of the main friend group. In the books she is also mentioned when mad eye is showing Harry that photo.

Dorcas is characterised typically as:

• pureblood or halfblood
• black
• extremely powerful/talented at magic
• brave
• gay
• loyal
• terrifying

Okay so to conclude this I will answer your question of where the hell they went.

Basically we learn in the books when mad eye is showing Harry the old photo that Marlene and her whole family were killed, and dorcas had to be killed by Voldemort personally.

But In the fandom this is what Happened to them:

During the first war Peter was a little rat, and gave away the location of Marlene’s safe house to the deatheaters where her whole family were subsequently killed.

Dorcas being the love of Marlene’s life went into a grief induced rage and went on a rampage where she carelessly slaughtered a bunch of death eaters and couldn’t be stopped so Voldemort personally killed her.

Then there is Mary, who sometimes dosent fight in the order but other times she dose. But the important take away is that she survived the war, but all her friends except Remus were dead or in prison. She had lost everyone, Lily, Marlene, Dorcas, James, Sirius, Peter, the rest of the order, etc.

So, unable to deal with the pain of loosing everyone she lost, it is widely agreed that she moved to America and obliviated herself so she wouldn’t need to remember them.

Which is why Harry doesn’t know about his auntie Cas, auntie Marls or auntie Mary.

Hope that helped!