In 2002, she learned Balanchine's Ballo della Regina from former New York City Ballet principal dancer Merrill Ashley. The following year, she made her debut as the title role in Giselle, her favourite role, and was coached by Natalia Makarova for the Kingdom of Shades scene in La Bayadère. She made her company debut in Nervi, Italy, when the company was on tour. She was initially offered a soloist contract but Helgi Tomasson, the artistic director of the company, allowed her to join as a principal dancer after Evelyn Cisneros and Sabina Allemann both retired the same year. In 1999, she was hired by the San Francisco Ballet. She remained in the company for four years, and left when she found herself "repeating the same repertory." DeAngelo, who had become the associate artistic director of the Chicago-based Joffrey Ballet, recruited Feijóo. In 1995, Feijóo moved to the United States to join the Los Angeles Ballet, but never performed with the company as it went bankrupt and disbanded. In 1991, she joined Ballet de Monterrey, ran by Ann Marie DeAngelo, where she worked with former American Ballet Theatre principal dancer Cynthia Gregory, followed by two years in Belgium as a principal dancer with the Royal Ballet of Flanders. She added Alonso's preference of classical ballets is also a reason for her departure, but not politics. Despite other dancers' efforts, she had not perform in Cuba since, even though several other Cuban dancers who went abroad were able to return. You choose." She chose to leave Cuba, and was granted a visa by the Ministry of Culture to leave the country without defecting. She recalled Alonso telling her, "Lorena, either you're in or you're out. After spending a year in the corps de ballet, she was cast in solo and principal roles, but less often then she expected, though she was a favourite of Fernando Alonso, a co-founder of the company, who called her his "Tropical Beauty." In 1990, at age 20, she left the company and Cuba as Alicia Alonso restricted Feijóo's opportunities to perform abroad. In 1988, at age eighteen, Feijóo joined the Cuban National Ballet. She graduated at eighteen, having trained as both a dancer and a teacher.
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One of her frequent partner at the school was José Manuel Carreño, who became a principal dancer with the American Ballet Theatre. However, her mother initially discouraged her to pursue ballet because ballet training in Cuba is "very competitive, the hours are grueling." At age nine, when she was old enough, Feijóo entered the Cuban National Ballet School, which she described as "excruciatingly good." At the school, she received her ballet training under Alicia Alonso, the co-founder of the Cuban National Ballet, in Russian, French, American and Cuban styles, and also studied folk dance, acting, piano, arts, Spanish and French. Lorena became interested in ballet after watching her mother. Her younger sister, Lorna, would later be a principal dancer with Boston Ballet. Her mother was a member of Cuban National Ballet before becoming a ballet teacher, while her father was an actor.