Milly may seem like an ordinary girl, yet the wandering priest Wolfwood is attracted to her immediately - especially seeing the way she blasts some deadly machines.  Then he gives her the shock of her life when, on a bus trip, he helps himself to her shoulder and falls asleep.  They see each other off and on in various adventures, and Wolfwood sometimes gets annoyed at her ditziness, but one knows the real reason he's uptight is because she's getting to his heart.

Then comes the day when Wolfwood makes a fateful decision, and shoots down a kid to save his friend Vash.  Looking into Milly's horrified eyes, he is devastated.  But she does not reject him - she comes to him the next day with sandwiches and comfort.  He asks her to stay; the show is mysterious about what happens next.  That they get closer can be assumed.  I also assume that vows of love are spoken, and feelings are requited.  Their newfound happiness does not last for long, as the very next day Wolfwood is gunned down.  As he dies, confessing his sins to God, he thinks of Milly, placing her above all other people in his life.  When she hears that he is dead, Milly cries and wails with all of her might.

Wolfwood was orphaned at an early age, then became the ward of an abusive guardian.  He got himself out of this situation by firing a gun, all at the tender age of 7.  Then he was taken in by another loveless man, and began marksmanship training under the stern eye of Chapel the Evergreen..  Chapel and Wolfwood's relationship was that of mentor and student, minus the usual affection.  In spite of all this, Wolfwood grew up a good-hearted man, with a desire to follow God and a soft spot for children, especially orphans.  On the contrary, Milly grew up the youngest of eleven brothers and sisters.  Her family is very tight and she keeps in touch with them wherever she goes.

Wolfwood and Milly's romance is similar to a "poor boy loves the princess" one, except Wolfwood's poverty is in lack of affection, and Milly's wealth is in a loving and warm family.  Perhaps Milly has compassion for Wolfwood and wants to give him some of her boundless love to compensate for his miserable childhood.  Perhaps Wolfwood is also attracted to Milly's childlike innocence, him being so fond of children due to his own lost childhood.

From English dub, sorry subtitle fans!

From the episode "Escape from Pain":

Milly [carrying two large bags of pudding cups]: "Thank you for buying all of these for me, Mr. Wolfwood."

Wolfwood [laughs]: "I should be thanking you.  You saved my bacon, Chessmaster!"

Milly: "I guess I'm good at chess.  My big brother used to make me play chess with him all the time."

Wolfwood: "A big brother, huh?  Gee, that must be nice.  Any other siblings?"

Milly [dropping pudding and alarming Wolfwood]: "No, but there's ten brothers and sisters!"

Wolfwood: "Uh huh.  You're the youngest, aren't you?"

Milly: "Yeah, well, how did you know that?"

Wolfwood: "Sometimes the answers just crash down from Heaven."

~~~

Wolfwood & Milly flirt, from the episode "Alternative":

Wolfwood [as gang draws near a mysterious town]: "Ah, there it is!  We're here; it's about time."

Milly: "Yea, team!  I'll have a pudding a la mode and a mocha frosty creme!"

Wolfwood: "Am I correct in assuming that means you're hungry?"

Milly: "Well, amazing, how could you tell, Mr. Wolfwood?"

Wolfwood: "I know absolutely everything about you, honey."

Milly: "Well, forget it dear, I'm afraid sextuplets are out of the question!"

Wolfwood [laughs]: "Nice comeback!"  [they both laugh]

Well, Wolfwood and Milly's future together must wait until that day when both of them enter the hereafter.  In the here and now, although the show didn't detail it, there is a chance she is carrying his baby.  But even if she is not, Wolfwood will remain precious in her memory, like Jack did to Rose in Titanic.