I could not find any scientifically based source to answer your question, so I looked in gardener forums to see what others have experienced and recommended. It's a fairly common problem with spring flowering bulbs.
You did well by planting them deeply, but with the lilies coming to the surface, you may want to do more. Many sources suggest mulching to protect emerging leaves from cold temperatures, and possibly use cloches, such as clay pots, or plastic pots with a rock on top, to cover the lilies when the weather gets cold to protect the leaves.
If the foliage is damaged by winter freezes, it may delay blooming for a year. However, bulbs are very hardy so at the worst, yours may skip blooming for a year, but be fine after that.
Thank you for your response...I really appreciate it. I’m not sure why they sent me the lilies so early, but will dig up and plant deeper.