Lyons was born in Washington, D.C. She is the daughter of surgeon James R. Lyons and dancer Penny A. Lyons (née Sousa). She is of Italian, Irish and Portuguese descent and grew up in Fairfield and New Haven, Connecticut, and several other towns in the state. She spent a lot of her youth both dancing and riding horses, giving up the latter to focus on the former.
As a child she suffered from scoliosis, which prevented her from a pursuing a career as a ballet dancer. Before being diagnosed, she studied dance at the Joffrey Ballet School, the New England Ballet School in Connecticut, the Boston Ballet and traveled to France. She wore a back brace throughout her time in the ninth grade. She ultimately had surgery to correct her spine.
While she was freshman at Yale University, she founded the Connecticut Scoliosis Association and wrote about her experiences with the disease in the book titled Scoliosis: Ascending the Curve. The book was published before she began classes at Yale in 1999.

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