The Phantom Blade Zero Cui quest is one of the longest in the entire game and has some vague objectives that make it difficult to complete. Starting in the Village of Lu after finding the puppet child Cui, this quest doesn't conclude until the final region of the game. Worst of all, you can fail the quest much sooner than that if you don't have the right items or leave a specific area, blocking you out of its final reward. Having completed the quest myself, here's a full breakdown of how I found Cui's grandfather and parents in Phantom Blade.
After finding Cui in the Village of Lu smuggler's tunnel, nothing happens with this quest until you reach the Mountain of Imprisonment, which is an optional region of the game accessed via Meigu Lake – it's a crucial area for a few sidequests, including Phantom Blade Zero Whence The Weeping.
To get to the mountain, you must repair the Illusory Pipa and then sail to the eastern side of the north shoreline to find the Weeping Mistgate. Once you've used the pipa to get through the mistgate, here's what you need to do:
Lu Sanqing at least has the decency to leave you a book page and the Crude Radiant Heart Accessory (though it's unfortunately not one of the best Phantom Blade Zero Accessories).
To find Cui's parents and wrap up the Cui quest, you need to get to Soulrend Cliff via Pangzhen's Mirage Estate. So, before you head there, you should finish off other objectives, such as getting inside the Phantom Blade Zero Crimson Manor and completing 'Secrets at the Heart of the Lake', which involves you fighting the Phantom Blade Zero Blizzard Blademaster .
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