This discussion may contain spoilers!
Everybody seems to think that the person that Clem said I thought you were dead to is either Kenny, Lily or Molly. Nobody though Molly died she just kinda left, Clem never found out about what happened to Kenny if i recall correctly so my money would be on Lily since her departure was sorta screaming I'll be back. Christa is actually the only person Clem thought was dead and she only started thinking that at the end of the episode so it kinda seems like the logical thing to follow up on. Also from the preview at the end of episode 1 it looks like they are going to confront the bandits probably the same ones that took Christa. It's possible Lily roamed and became crazy starting a bandit group but oh boy she sure did walk really far so i would say the most likely candidate for the person Clem is talking about is probably Christa as a hostage of the Bandits or maybe even one of the bandits .