haha, I like how Shanghai's giving Alice the "wtf are you doing" look.

Is this a reference to something? I know that Reimu's comment is directed to Alice but with their strange stances I can't help but think I'm out of the loop on something...

Considering that the only artist-specified tag on the picture is "nani kore" ("what is this"), I think we're in pretty good company out here beyond 'the loop'.

how in the world did "(Margat)roid" become "Lloyd"?

A mistaken assumption. The katakana of "Margatroid" end in ロイド, which is the same way the name "Lloyd" is spelled.

I thought the artist was just being surreal, but now that you mention that, it makes just a wee bit more sense. Reverting it now.