[La Llorona] isn’t [part of The Conjuring Universe is because] it was made without one of the [Conjuring franchise] producers, so technically it can not be fully embraced.
Originally, there was only supposed to be a playful nod [to The Conjuring franchise in La Llorona], by putting The Father in and having the Annabelle flash.
But as [the character] La Llorona is an outsider herself, I think it fits.