When the Creature/John Clare first appears in Penny Dreadful, he kills Proteus, Frankenstein's second creation, who is quite clearly mortal. However, in a number of instances afterward, the Creature is quick to tell Frankenstein that he can never die, and so can torment his creator until Frankenstein dies. Lily, too, eventually adopts the same attitude. I was inclined to wave this off as some sort of boasting, but then in Season 3,

Frankenstein shoots Lily and Dorian,

but Lily doesn't die, which appears to confirm that she and the Creature are immortal.

Making all of this more confusing is the fact that after Proteus's death, the Creature and Frankenstein both seemed to think that shooting the Creature in the head would kill him, which would seem to contradict the claims of immortality.

Perhaps I'm missing something obvious, but why are these two creations immortal, while Proteus was mortal? What did Frankenstein do differently when he brought them to life?