Parece que você perdeu parte da conversa:
Lumley: "He was still holding on to the 0-8-4. Poor thing was covered in blood. We thought she was dead, too. But.. she was just asleep in the dead agent's arms."
Coulson: "Wait.. the baby? The girl was the 0-8-4?"
Lumley: "She had powers or something, we never witnessed it."
They go on to explain that they used SHIELD resources to hide the baby, shifting her from foster home to foster home. The end of the episode makes it clear that the baby is Skye, and the conversation quoted above makes it clear that the baby was also the 0-8-4.
Also, an 0-8-4 is an "object of unknown origin", not necessarily alien.