I've looked All over for her. I've gone to all my other homes. I've gone to jail on white run. I've fast travel, slept, everything. She's just gone.
I am on Xbox one. Special edition.
What can I do?
Console or PC game? I ask because PC has the ability to use "console commands" that consoles (PS or X-Box) don't. There is a console command called
http://www.uesp.net/wiki/Skyrim:Console_Commands is the UESP Console Command page for further help
Back when I played on 360, Heljarchen Hall was a bit buggy for me. I also had Lydia as a steward, and either her or Gregor (the housecarl who is supposed to live there) were almost always missing from the actual property. I found them multiple times wandering the roads between between the house and Whiterun, and at least once all the way out past the Western Watchtower. I can't guarantee that it'll solve anything, but you might try looking for her along those roads.
A possibility is that if you had been playing the Dawnguard line, that she has been kidnapped. This comes up as a radient quest to rescue a friend. Get the quest at Fort Dawnguard from Florientius. If you're not playing this story line and you're on a console I have nothing else to offer...
I built Lakeview and married Lydia. I came home, walked in the kitchen and she was in the shelf to the right, at the opposite end from the oven. I could see her face, shield and part of her armor. I could even talk to her. Then I went outside and she was by the smelter.
That chick is into some crazy voodoo.