I was puzzled by the same thing as Modesto. Normally you couldn't add "Volumes" since it's only used for storing the drives, not photos at the root level. That's why I wanted to see what showed in Finder; there was no screen shot in your post. And please when you list what is where specify whether you're talking about the Finder or LR; I can't tell from your post.
"Volumes" is a system folder that normally a Mac user shouldn't mess with. And shouldn't store folders in it; it should only contain special files that correspond to the names of volumes on disks, like your externals. It's a way for the filesystem to access them.
So again, if you run this command in Terminal, what is the result?
ls -l /Volumes