A guy in our church is a Lumbee Indian. They can tell you what happened to the “lost” colony — the members were adopted by, and assimilated into, their tribe.
If you’ve ever met any Melungeon people, from way back in the hills of SW Virginia, NE Tennessee and the extreme NW corner of North Carolina, they’ll tell you the same thing. There are a few “mystery” people who turned up in James Cittie (Jamestown), too.
The Lumbee have a history of assimilating other cultures. That area of NC was a haven for runaway indentured servants and later slaves, criminals and any other societal refugees that needed a place to live outside the mainstream of colonial society.