Our life becomes like our pornography
Lost Girls, a graphic novel by Alan Moore, is pornography. This is the key feature in analyzing this book. It cannot be understood properly if you are trying to understand it as a graphic novel, or a regular novel, or anything else besides pornography. It may look like a graphic novel or a comic book, and it does indeed take that format. But merely because it has the format of a graphic novel does not mean it should be evaluated as a graphic novel.
All of that said, Alan Moore uses the pornography in Lost Girls as a reductio ad absurdum on issues of sexuality in our culture. He takes common views on sexuality and takes them to the extreme. The parts of this work that I enjoyed the most were the ones that took place at the Hotel Himmelgarten, and not the flash back stories that put a pornographic twist on the stories of Alice in Wonderland, Dorothy from the Wizard of Oz, and Wendy from Peter Pan. It takes place in the buildup to World War I; one of the secondary characters, Rolf, is called up into the war after the death of Archduke Fran Ferdinand.
The book chronicles the sexual evolution of these three fairy tale women, mainly through a sexual retelling of their stories. Each of the stories, however, are told with sexual violence as the primary moving force. Alice is corrupted through drugs and sex; Wendy and Dorothy both experience incest. However, when they are at the Hotel, with each other, they are in a safe place of sexual freedom, where they are free to explore their every desire.
In the end however, the women each go their own separate ways, the hotel is destroyed by soldiers, and Rolf is killed on the battlefield. The violence that each woman had experienced in their lives had come back to find them through the war. The escape from reality, the safe place from all of the violence that the women had created at the Hotel Himmelgarten is gone. This world seems like it could have been the world of Watchmen, 70 years earlier, and told from the female perspective. It is a story, told at the extremes, of three women dealing with violence in their lives.