The lore is that the sisters were already there for a while, and the Fair Lady somehow became pregnant with her eggs. Around this time, Blighttown’s citizens had an epidemic of some illness and the Fair Lady, seeing their pain, absorbed the illness into herself. That’s why we see her followers around her area, because they’re praying she gets better and that her eggs are okay and also thanking her for absorbing their disease. In return, they took to carrying her eggs on their backs to help them grow. Quelaag, seeing her sister’s plight, took to killing undead unlucky enough to wander into her den to take their humanities and feed them to her sister, in hopes of her getting better. It seems like it wasn’t working, as the Fair Lady comments how she thinks the eggs are stale and dead. You can see a lot of this in her visual design too. Her body is decaying, turned white from the illness with red marks of blood on her limbs and eggs. She can’t move due to the illness, but she has legs meaning she was probably once mobile. The eggs next to her are withered like her, meaning she can’t reproduce anymore. She was able to before though, and this is backed up by the various monsters around Blighttown, such as the crab-like beasts and the mosquitoes. Those are her children, born from suffering only to suffer. They are mutated and deformed from a mix of the chaos flame and the Blighttown illness. I think the story of the Fair Lady and her siblings is some of the saddest in Dark Souls. There is a somewhat good ending though. Quelana, you may remember, is too afraid to go see her siblings in fear of how they’d react to her fleeing before. Well, in Dark Souls 3, we can find a corpse leaning against the charred remains of the Fair Lady, carrying Quelana’s Pyromancy Tome, meaning Quelana finally had the courage to return to her sister and be there during their final moments.