(Lucy Left the guild for 4 years, after seeing Lisanna and Natsu kissing. Lucy was devastated, and left with very short notice.)
Lucy walked into the guild with a little girl with pink hair, holding her hand. Lucy had a black cloak on to hide her face, and went to Makorov's office to tell him that she has returned to the guild. After, she reveled her identity to the guild, and she tells them that she has a child, and she revealed the father later on.
Her daughters name is Nashi, and nobody knew her father until Lucy revealed him. (SPOILER: It's Natsu XD)