headcanon; diety alliance
The timeline of Dissidia happened after the events of XIII and before the events of XIII-2. When the chaos flooded into Lightning’s world, she was dragged into Cosmos’ realm, before landing in Valhalla. After she fought along side Cosmos and fell in battle, her soul entered Valhalla, along with the other fallen warriors, but none heard Etro’s plea.
Because Lightning heard her cry for help, she awoke on the shores of Valhalla instead of continuing her slumber in the chaos with the rest of the fallen warriors from Dissidia’s realm. Lightning’s decision to help Etro granted her the gift of a Valkyrie from the Goddess of Death. She doesn’t remember fighting along side Cosmos, but the memories are still there; just hidden. To Lightning, it was just a dream she had when she fell through the gate into Valhalla and the timelines were altered.
Cosmos and Etro are friends, and due to this, Lightning will always remain linked to the two Goddess’, and able to come to their aid when called upon.