I'd say Erza because I'm pretty sure that Erza the demon will get out da herself easily...after all she is Fairy Tail's strongest woman and da what Natsu and Gray described her that she's a horrifying demon. I'm not saying that Lucy is weak though.:)
Well I'm sure they will be able to rescue themselves, but I would choose Lucy. Loke would probably come to rescue Lucy, and it wouldn't be that hard for Erza to escape.