Nielíqui is the little daughter of Oromë and Vána:
In Valmar too dwelt Noldorin known long ago as Salmar, playing now upon his harpes and lyres, now sitting beneath Laurelin and raising sweet music with an instrument of the bow. There sang Amillo joyously to his playing, Amillo who is named Ómar, whose voice is the best of all voices, who knoweth all songs in all speeches; but while he sang not to his brother’s harp then would he be trilling in the gardens of Oromë when after a time Nielíqui, little maiden, danced about in the woods (BOLT1, 75)
Clarifying comment Chr. Tolkien:
(...) my father wrote a list of secondary names of the Valar. (...) It emerges from this list that Ómar-Amillo is the twin of Salmar-Noldorin (...) that Nielíqui is the daughter of Oromë and Vána.... (BOLT1, 93).
Reference: JRR Tolkien, Book of Lost Tales Part One