Hi welcome to GoY, are they in pots or in the ground?, if they're in pots the usual reason for yellowing leaves is lack of nutrients, potting compost usually has enough nutrients for about 6 to 8 weeks,after this time you will have to start feeding them,or plant them in the ground,which has been well prepared, lillies need to be planted quite deeply,but if not planted deep enough, they have contractile roots which will try to pull them down to the correct level, which is why the soil needs to be well prepared, Derek.