(CNN) Chris Watts' 4-year-old daughter knew her mother and younger sister, Celeste, had just been killed -- and she feared she would be next.

"Please Daddy, don't do to me what you just did to Cece," said Bella, according to a lawyer for the family of Shanann Watts, the girls' mother.

Earlier, Bella had walked into the room just after Watts had strangled his wife, Shanann, and was wrapping her in a sheet to dispose of her body. "What are you doing with Mommy?" Bella asked her father.

Bella's last words and other details about the disturbing familial murders were revealed by attorney Steven Lambert on Tuesday's "Dr. Phil" show.

The latest information stems from Watts' recent confession, which was relayed to Shanann Watts' family and then to Lambert, the attorney confirmed on the show.