Anna seeing Lucie.

This scene is meant to establish a few things.
1. Anna has let herself go
In the hallucinated conversation with Lucie, its is established that Anna has stopped fighting her abusers, by telling Lucie that the way to 'stop being scared' is to 'let oneself go'. In later scenes we see that she eats the gruel fed to her without spitting it out or crying/reisting, as opposed to what has happened earlier. She also stops struggling against the man who beats her each day, as opposed to earlier the film. Also, in the scene prior to the one in which Anna is flayed, Gabrielle talks to Anna whilst she is unchained, whereas when she was unchained by the man who beats her earlier in the film, she had tried to run away.

2. The reason Anna became a martyr when others had failed
This scene potentially had another likely meaning regarding why Anna had been able to transcend when so many subjects other than herself had failed. Furthermore, Mademoiselle had previously explained that after a certain amount of abuse, a 'subject' (as the cult refers to them) would have hallucinations. Lucie hallucinated seeing the girl she had left behind when she escaped, whereas the woman Anna found in the basement was said to have hallucinated insects crawling all over her skin. Anna's hallucinations however, are auditory, and unlike the hallucinations of both Lucie and the girl in the basement, Anna's hallucinations are of someone she loves. Hence Anna enjoys halllucinating about Lucie, whereas the other girls dreaded their hallucinations. And it is potentially the fact that Anna embraces her hallucination rather than fighting it, that allows her to transcend.

Although number two is largely my opinion/interpretation, I have heard others suggest it also and though I should bring it up.