South Korea's Chella Choi, tied with Lu with two holes to play, had a 66 to finish second.
"I had very good confidence today," said Choi. "I just think, 'OK, one putt, just one stroke.' So I think birdie and focus. I don't know why, not nervous. Good experience for me. Disappointed, but satisfied."
Japanese players took the next five spots. Mamiko Higa and Yuki Ichinose shot 70 to tie for third at 10 under, Yumiko Yoshida (68) and Shiho Oyama (71) followed at 9 under, and Asako Fujimoto (71) was 8 under.
Stacy Lewis tied for eighth at 7 under. The third-ranked American was the top-ranked player in the field.
"I could have made some putts earlier I just couldn't seem to make any putts," Lewis said. "But to shoot 2 under in this wind is a good score. It's pretty crazy what those two are doing today."
American Brittany Lincicome, a stroke off the lead entering the day, had a 77 to tie for 29th at 2 under.