I have read from an anime magazine that Milly Ashford, the school president, was described as the daughter of the owner of the school which is obvious because the name is Ashford Academy. However, she was also described as the girl who always pairs up Lelouch and Shirley as couple, despite she herself having feelings for Lelouch. Is there any proof of that? I watched the R1 and R2 anime 5 years ago and I cannot remember a part that could prove it. Or am I missing something?
It has never been show if she has or ever had feelings for Lelouch. However she is very caring as demonstrated in Episode 9 - Refrain when talking to Kallen about her parents.
The Wikia does says she cares deeply for him
Milly cares deeply about Lelouch, but realizes the need to restore her family's status by marrying a noble. She is aware of Lelouch's identity as a former prince of Britannia, since her family were close supporters of his mother, Empress Marianne. This relationship however, would lead to the family's nobility status being stripped.
"this relationship" refers to supporting Marianne who was a commoner at birth and already looked down upon by members of the royal family (though it was more jealousy that she became a wife despite being a commoner).
I remember reading somewhere (though I don't remember where so don't hold me to it) that Milly spent time with Lelouch and Nunnally as children before Marianne's death which is why despite knowing they are royalty, she can be very forward with them, making her probably the closest person alive to them to date.
The only part in the anime that I remember was her "Cupid Day" where she said that when a girl and guy exchange hats, they will officially start becoming girlfriend and boyfriend. And throughout the day, she had everyone chase Lelouch's hat to give it to her. At first, I thought it was for fun, teasing Lelouch like usual but...
When Shirley and Lelouch appear to have exchanged hats, Milly removes her hat and says, "I'm disappointed this all ended so predictably. I guess you win." The maid (I forgot her name) says behind her, "Although I think you were a little serious about it." This shocks Milly and looks back, but the maid is gone. She then smiles and says, "Yeah, maybe I was. Just a little."
I questioned it so I went to search if it meant that she liked him for real, and I stumbled upon people saying yes. And then I saw your question, and here's my take on it. XD (I'm not yet finished with this anime though)
Yes, Milly was in love with Lelouch. It was hinted actually especially in picture dramas. Although in the anime it was only shown during the Cupid Day. Remember, prior to that event she and the psychotic Nina had an argument of some sort about Milly herself not being true to herself or something. That was why during the start of the Cupid day episode she was in the shower(she was sooo hawt in that scene being nude and all, LOL) and looks like absorbing the psycho Nina's rant about her. Then after that she announced her graduation event. And when the event was about to start, when she was about to command the students by bringing Lelouch to her, she actually closed her eyes for a moment and then opened it with determination. And also her comments after the event and Sayoko's statemnt. LOL. I soo love ninja Sayoko. So yeah, the playful Milly was actually in love with our beloved demon emperor.
Too bad it wasn't clearly established in the anime. I love her and I kinda ship her with Lelouch. If it weren't for the official release of the anime mags, CLAMP and the side materials you wouldn't know about it since it was not established clearly in the anime not to mention she wasn't given enough screen time. You should be really keen to details to notice it in the first place. And also by re-watching it.
P.S. The sound episode of code geass entitled "Meeting Milly" was hilarious, heartwarming and kinda nostalgic. It was about the first meeting of Lelouch, Milly and of course Nunnally. If you would listen to it after watching the entire series it was like Milly was reminiscing it after Lelouch's death. Really sad. Milly was kinda tragic you know. She was the character where she secretly love the main guy but never got the chance to express it. Not to mention that she constantly paired him up with a friend, Shirley. You should read the fanfic "Until". Its a Oneshot and it showed Milly's thoughts and feelings about Lelouch. The crossdressing picture drama was hilarious too. Too funny and it was refreshing to see despite the darkness of the plotline of Code Geass.