Lv Xiao and Xiao Lu can't both lie, because it's Lv Xiao and not Xiao Lu, and the truth can't be consistent, otherwise it's contradictory;

So among Lu Xiao and Lu Xiao who tell the truth,

Then Xiao Zhao's "Not Me" is a lie.

So the winner is Xiao Zhao.

So the answer is: Xiao Zhao.