Lucio is a character from Wild Arms 3, deceased before the events of the story take place. He was the 4th member of Janus Cascade's team of drifters, and while the cause of his death is never touched on, it is implied through NPC dialogue that he was important enough to Janus that his death changed him for the worse.
A piece of artwork from WILD ARMS.net features characters with halos over their heads who did not appear in the game proper. While their identities are not disclosed, it can be inferred that the red-headed male is Lucio, who never actually features in the game. There was also supposedly a tie-in comic featuring he and Keziah, another important figure in Janus' life, released with the Wild Arms 3 Perfect Game Guide.