So a few things I noticed in Ash Lake. I managed to peek inside their helmets:
1: Siegmeyer wasn't hollow. He still looked human. Not only that, his eyes are blinking.
2: Sieglinde is smiling.
Now this may have just been limitations or cutbacks in the design, you can't really see their faces anyway with the helmets the way they are. However, I like to think there's a deeper plot afoot. Maybe Seiglinde wanted to kill her father for some reason, and it's not the first time she has. She openly says that if he goes hollow, she'll have to kill him *again*. Now maybe Seigmeyer was somehow aware that she wanted to finish him off and in a battle with her he managed to fake his death in order to stop her from following him. Maybe the stories she tells us of how he keeps adventuring and disappearing aren't quite true. Maybe she wanted to find him because she intended to end him from the start All the areas he shows up in are quite perilous to get to, possibly proving he may be trying to escape her. He's going places she'd be more hesitant to search. Maybe she's not actually his daughter at all and she's an assassin that dons the disguise of a Catarina knight in order to fool others into leading her close to him.
Or maybe, just maybe, I'm just pulling this idea out of my backside.