Ok so I finished the game with a pretty high completion. I don't seem to know the answer though, question being. Where are Coco and Millie?

I did everything and I don't think that question is answered.

You are supposed to assume they died on the island.

@the_laughing_man: That would be very disappointing. It's the obvious answer and at the start I assumed exactly that, but then when I came across the photograph she specifically ponders what happened to them. It's at that point that I thought maybe I'd missed something.

In the Geothermal Caverns one of the prisoners talks about them.

But almost all of the relic/journal backstories are just snippets in the hope of creating a rich history for the island.

@hom3r: Any chance you can remember what was said?

It's supposed to be assumed that they died on the island, but think about this, Coco and Millie are girls that came along before Sam, so, wouldn't they be tested to be the key therefore burning them alive?