Secret Before Christmas SAGA (ナイショ・ビフォア・クリスマス SAGA Naisho bifoa kurisumasu sāga) is the first drama CD of the series released on March 26, 2021. A comedy located between the first season and Revenge, where we are told that Lily believes in Santa Claus and Sakura and the others will do everything to cheer her up.
It seems to pick off directly after the live at Arpino. Basically Franchouchou are having breakfast and gushing over the concert when they notice Kotaro isn't in the mansion. They soon realize that it's actually Christmas Eve. While the girls talk about how they normally spent Christmas while they were alive, Lily shares about how she would always receive presents from Santa on Christmas Day (heavily implied it's Pappy). Sakura quickly realizes that this year would be the first time Lily would not receive any presents from Pappy due to her being a zombie. Thus, the girls plan a way to deliver a present to Lily as "Santa" (with Saki briefly suggesting that Junko break a hole in the room as a "chimney" for Santa to climb down).
Franchouchou decides to throw a Christmas party within the mansion. While Sakura, Saki, Ai and Junko have a "secret meeting" to prepare Lily's gift, Lily and Yugiri decide to bake a Christmas cake for everyone. So as not to arouse suspicion, Saki, Ai and Junko try to ask Lily one by one what she normally gets for Christmas. However, they are unable to get any information, and Ai and Junko are heard crying after trying to talk to Lily (Ai is in tears because she finds Lily "too cute and dazzling in that moment", while Junko is unable to say anything and fails due to her introversion). Sakura is about to try and ask Lily but she walks into the room, narrowly missing out their discussion.
The girls then decide to go into town to get/prepare a present they think might suit Lily, so that they can collate all the presents into one bag like Santa. Sakura buys Lily a textbook (considering Lily died at such a young age and was unable to further her education). However, the girls point out that she bought the wrong textbook (as the cover page reads "Rakugo" instead of "Reprint").
Saki buys Lily a Christmas card with Santa's "Autograph", but the text is written in kanji (which Lily cannot read). Junko buys and builds a mini Christmas tree (with full-functioning lights and the star modeled after Lily's own star). As the girls marvel at the ornate plastic model, Sakura asks if she can borrow the model to take a closer look, but she trips... and promptly breaks it. Junko tells them she can repair it but Ai says there's no time.
Ai gets a Gingerbread Man for Lily (i.e. "Collecting freaky but cute mascot merchandises" as per canon). But the result is less of "cutesy" and more of nightmare-fuel. Ai is upset that the rest of the girls don't think the GGBM is cute, and begins to tear it apart, but not before Tae takes the GGBM for herself (Sakura remarks that Tae thinks the GGBM is "precious"). With Lily and Yugiri finished with the cake, the rest of the girls salvage what they have, and agree to rendezvous at night after Lily goes to bed from the party.
The next morning, Lily and Yugiri wake up to find the bag by Lily's side. Yugiri tells Lily that she was relieved that "Santa" came to visit after all. Lily opens the bag to find Sakura's rakugo textbook, Junko's broken Christmas tree, Saki's card, and Ai's Gingerbread "Carcass". Yugiri asks if that was what Lily wanted after all, to which Lily cheerfully denies. It is revealed that as they were baking together, Lily knew full well that Santa would not show up at all because she's a zombie, but they chose to bake the cake together for the rest of the girls, as Lily wanted to "become Santa instead" to give back to Franchouchou. Lily responds by saying that seeing the other girls appreciate her cake was that "present she wanted all along".