So at this point I think we can say with pretty good certainty that Gwyn was willing to give his youngest to the Pygmies as a sacrifice of some sort.
We know his oldest daughter married a "Flame God", but we know more or less nothing about him. But lets take a moment to consider how or why this would happen, and why an illusion would be kept to hide it.
When we are talking fire in the Dark Souls world, we have two major branches. The obvious being the First Flame itself, and the second being through pyromancy, in all of it's various incarnations.
It seems reasonable to believe Flann would need to be connected to one of these two, so lets explore both.
The most reasonable to me seems to be pyromancy, perhaps through the Witch of Izalith, and I think most reasonably as part of the attempt to re-create the First Flame that lead to Chaos and Demons.
If you consider what would occur when a God of Flame meets a Goddess of Fertility…
One of the central questions of Dark Souls has always been why would the Nameless King, who seems to be the head of the most honorable covenent in the game, turn on his father and join with the enemy he spent most of his life trying to destroy.
Imagine this narrative. The fire begins to fade. Gwyn, seeking a way to stop this makes a deal with the Witch of Izalith for an arraigned marriage they believe will be able to rekindle the first flame and extend the age of fire.
But something goes horribly wrong.
Rather than recreating the First Flame, they instead create the Chaos Flame.
At this point Gywn is beyond desparate. His plan has failed, his daughter is lost, which it appears he wishes to hide with the Illusion of her we find in Anor Londo. The Witch of Izalith and two of her daughers have become the Bed of Chaos…suddenly there are the more immediate danger of the demons.
We know gave a part of his soul to the Four Kings and part of his Soul to Seath…but what if that was only part of the gift.
Fillianore, his youngest, we find in the Ringed City, which I think a strong argument can be made was connected to New Londo, and area which had to be flooded and destroyed to stop the spread of the Abyss.
Gywndolin, with his serpentine legs and moon sorcery, perhaps was gifted to Seath for used in his experiments due to his feminine aspects.
And seeing all of this, the Nameless King and his knights, including Havel the Rock, could not stand by and support his Father's decisions, or even support continuing to extend the age of fire.
And so a scism in the ranks occured, a Civil War during which the Nameless King joined with the Dragons. The Kings of New Londo fall to the Abyss and the city is flooded to stop them and Gwyn, now truely alone with enemies encroaching on all sides, links the flame to attempt to extend the current Age of Fire.
Either before or after this, Seath goes mad and Gwyndolin leaves him to return to Anor Londo and using the magical skills he has learned from Seath either creates or expands the illusion of the city. The Nameless king briefly returned after his father's death to place "Sunlight Blade".