During the Marshalling phase, when I am active player and have gold or other resources

I get Lucas Blackwood killed and initiate a military challenge - I declare an attacker

My opponent declares defenders

In the player action window, before challenge resolution, can I spend gold, put characters in pay, give them naval and add them to the challenge

As long as you are the Active Player in the marshaling phase, you will be able to Marshal characters during the player action windows of a challenge created by Lucas Blackwood(before Stealth is declared and after defenders are declared).

Treat this challenge like a normal challenge in the Challenges phase with the above exception. The only thing you cannot do normally is trigger effects that are preceded by " Challenges: ". So, you can declare Naval participants in that challenge if you have a Naval enhancement on that characters MIL icon. If you can find a way to give characters a Naval enhancement, then I don't see why you couldn't do that for this challenge.

Got any cards in mind for this purpose? White Harbor Dromon cannot be used because it can only be triggered in the Challenges phase.

hmmm... yes I was overlooking that WHD was Challenges only ... I can live with a kill claim of 2 during marshalling and another 3 during challenges ... it just wont be against Martells

I take it the same Challenges restriction applies during Epic phases etc.

I also take it that I have to be careful in the order I do things - once Lucas is killed (Umber Beserkers) the Challenge is initiated as a response, so I would not be able to play any other characters before the challenge starts / kneel attackers

Exactly. So you have to marshall the relevant characters before you kill Lucas. Or marshall military-naval characters. In the Epic phase, you can't take advantage of Lucas' response: you have to declare his challenge at your next action opportunity, but all such opportunities happen during challenge and you cannot initiate a challenge during another challenge.