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The other blue haired girl was introduced in the earlier chapters, she’s a palace maid. MLs cousin took her in as a plaything. She was later killed and used as her body double. Orange hair girl got pregnant by a black haired guy pretending to be the emperor, he uses his powers to shift his appearance.
It's been long since I last read this, and I am confused who's the other blue haired girl who wasn't Yeon and who got the orange hair girl pregnant...