Millia shows up on a total of 4 GG drama CDs. The first is the Guilty Gear X Drama CD 2, which has a translation here. It’s also available for viewing(more like listening) on Nicovideo below. Millia’s portion begins on 12:20 and 29:21. You get to hear Millia laugh in this, it’s quite cute ^^

Millia then shows up on all 3 of the Night of Knives CDs. The general plot of these drama CDs revolves around the Assassin’s Guild and how the relationship between Zato, Millia, and Venom developed to what is seen during the games. Amazingly, Blade from Dustloop has been doing something useful and is translating these. You can read his translation here. Some highlights include:
-Millia and Zato having pillowtalk in the beginning of Disc 1
-Slayer asking Millia to dance, and Millia replying by saying that she doesn’t know how ^^
-A piano version of “Writhe in Pain” during one of the Millia/Zato/Venom dialogues in Disc 2
-Millia yelling out the names of most of her attacks
-Johnny hitting on Millia in the very end of Disc 3

All of the drama CDs can be listened to on Nicovideo below