Grand Guignol Orchestra Vol 3

From the VIZ Media edition

Ma Cherie Lucille and company visit the residence of Duke Rhodonite - a member of the opposition to the queen - in search of information about the new type of Guignols they discovered at the Vienne Abbey. When the Duke holds a party to announce his betrothal, Lucille is captured through a nefarious plot!

Source: Anime News Network Encyclopedia