Following Pamela Bach-Hasselhoff's exit during the second live eviction, housemates watched as the 47-year-old granted immunity from the next eviction to just half of them.
Her subsequent decision to save Katona, Amy Childs, Paddy Doherty and Jedward means that Lyons, Tara Reid, Lucien Laviscount and Bobby Sabel all face eviction on Friday.
"I wasn't expecting that at all, like someone to go out and vote to save four," Katona told the Mr Paparazzi businessman. "It was a bloody shocker."
On the possibility of two housemates leaving on Friday, Lyons mused: "I wonder if there is going to be another twist on Friday though. I still [think] only one [will go], I don't think it'll be a double. It's going to be interesting to see what happens there."
Discussing Bach-Hasselhoff's exit, Katona described Lyons's survival in the vote-to-save as a "massive thing".
"The biggest strength I got from [last night], was actually the support when it was announced," he said. "The support of my closest nearest and dearest in the house, which is actually the biggest buzz."
Celebrity Big Brother continues tonight at 10pm on Channel 5.
> Pamela Bach's Celebrity Big Brother eviction seen by 2.3m
> Celebrity Big Brother evictee Pamela Bach-Hasselhoff: 'It was embarrassing'
Watch Kerry and Darryn discuss the eviction below: