Interesting. Next step is to turn off all the 120V breakers in the panel except the circuit in question, and confirm that you are only seeing power at these two lights. My guess is that you might fine something, a room full of receptacles, or something else you did not suspect, that is also part of the circuit. Once you determine exactly how many devices (lights and receptacles) and junction boxes are on the circuit, it's time to do what you have been doing so far. That being, taking the switches and receptacles out of the boxes, and taking a look at everything. At this point you should probably go to HD, or Lowes and grab a "non-contact voltage tester" this is an inexpensive pen like device that can tell you if you are working on a hot wire by touching the side of the insulation. When it comes to trouble shooting, I constantly use one. It gives you the chance to determine that everything in a junction box is dead, before you start digging around. One trick on this journey. If you find that you have a dozen devices on the circuit, go to the half way point, disassemble the circuit there and check voltage. If you find 120V, go to the half way point between where you are, and the end of the circuit. Never start at the end of a defective circuit and work backwards, it can be a huge waste of time.