Serugei Oukoku no Kage Tsukai

It was later released in the "30th Aniversary - Ay", a special book.

From Friendship Scans:

In the history of the Kingdom of Siegerland, there has always been a powerful Shadow Messenger who acted as a guardian for the country. Yet the Shadow Messenger himself doesn’t have a shadow!
Every Shadow Messenger chooses a guardian out of all the knights. In order to show his devotion, the knight then offers his own shadow as a gift to the Shadow Messenger and by that becomes a Swordsman.

Lisa is a normal girl who leads a happy life like everyone else, when suddenly her father dies a tragic death. From that day onwards, her mother forbids her to leave the house. In the end, she secretly steals away with her childhood friend Louis. They are playing outside, when her playmates die under strange circumstances… Only Lisa survives, but she lost her memories of that day...