Around the ending when Lenny, Oscar and Oscar's manager go to see Don Lino. Lola just pops up from no where! How would she know the place where they meet? And the movie never states that Lola and Don Lino knew each other.
My dad pointed this out when we were watching the movie.
In the movie, Lola clerly says this, "The one thing that I love more than money is revenge." So it is possible that Lola told Don Leno that Oscar loves Angie and so that the Don knows Oscar's weakness. The movie doesn't show the relationship between Lola and the Don because it never existed until Lola decided to have a revenge on Oscar. Also, I believe that this relationship is not shown because it was used as some kind of a twist.