It looks like the Immortals are most likely from demon race and they took the girl to immortal realm because of her body constitution and messed up with memories of people related to her

It's probably Shen Jing. I have long suspected that Shen Jing is a White Tiger of the previous generation, which is said to have died in a battle with a strange creature in the Central Continent. There were a few hints that pointed this out. 1. He met Alex because he cared about Pearl 2. He said he was from the Western Continent, but he wasn't born here (because Four Heavenly Beasts made a pact to come and rule over the worlds that were won over by the humans from the demons after Eternal War) 3. Most of the Dao that he knows is related to metal (chapter 723). This may not be a perfect theory, but I think it's possible.